Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market

DOI10.1080/14697688.2011.586355zbMath1280.91169OpenAlexW2071445757MaRDI QIDQ5745649

Yibing du, Yijun Du, Chen Wang

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.586355

zbMATH Keywords

option pricinggoodness-of-fit testsinverse theoryparameter estimation techniquesrisk neutral distributions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Shape constrained risk-neutral density estimation by support vector regression ⋮ Sieve estimation of option-implied state price density

Cites Work

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