State price density estimation with an application to the recovery theorem

DOI10.1515/snde-2018-0090OpenAlexW4238784118MaRDI QIDQ6039126

Anthony Sanford

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0090

zbMATH Keywords

risk neutral densityimplied probabilitiesrecovery theoremcontingent state pricing

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
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• Financial modeling under non-Gaussian distributions.
• Higher-order multivariate Markov chains and their applications
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Dynamics of implied volatility surfaces
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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