CONDITIONAL DENSITY MODELS FOR ASSET PRICING

DOI10.1142/S0219024912500021zbMath1244.91090arXiv1010.4384OpenAlexW3124083346MaRDI QIDQ5389098

Damir Filipović, Andrea Macrina, Lane P. Hughston

Publication date: 24 April 2012

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

Full work available at URL: https://arxiv.org/abs/1010.4384

zbMATH Keywords

option pricingnonlinear filteringimplied volatilityBachelier modelvolatility surfaceinformation-based asset pricingBreeden-Litzenberger equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Minimax optimal conditional density estimation under total variation smoothness ⋮ Conditional Default Probability and Density ⋮ Randomised mixture models for pricing kernels ⋮ INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ Stochastic modelling with randomized Markov bridges ⋮ A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS ⋮ Lévy information and the aggregation of risk aversion ⋮ Simulation of Implied Volatility Surfaces via Tangent Lévy Models

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• INFORMATION-BASED ASSET PRICING
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• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS

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