SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION

DOI10.1142/S0219024917500418zbMath1396.62240OpenAlexW2751575418MaRDI QIDQ5367497

Denis Belomestny, Ekaterina Krymova, Wolfgang Karl Härdle

Publication date: 13 October 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500418

zbMATH Keywords

ill-posed problemsKullback-Leibler divergencerisk neutral densitypricing kernel

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The pricing kernel puzzle: survey and outlook

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Measure preserving derivatives and the pricing kernel puzzle
• A tale of two option markets: pricing kernels and volatility risk
• Maximum penalized likelihood estimation. Volume II: Regression
• Nonparametric option pricing under shape restrictions
• Testing monotonicity of pricing kernels
• Nonparametric risk management and implied risk aversion
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Risk bounds for mixture density estimation
• Introduction to nonparametric estimation

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