Estimating option implied risk‐neutral densities using spline and hypergeometric functions

DOI10.1111/J.1368-423X.2007.00206.XzbMath1186.91209MaRDI QIDQ5427667

Ruijun Bu, Kaddour Hadri

Publication date: 21 November 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

hypergeometric functionsrisk-neutral densitynatural splineroot mean integrated squared error

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (5)

INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ Monotonicity of three kinds of functions involving the Gaussian hypergeometric function ⋮ Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures ⋮ Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing

Cites Work

• Unnamed Item
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Estimation of risk-neutral densities using positive convolution approximation
• Nonparametric risk management and implied risk aversion
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Do option markets correctly price the probabilities of movement of the underlying asset?

This page was built for publication: Estimating option implied risk‐neutral densities using spline and hypergeometric functions