Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
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Publication:6095386
DOI10.1007/s40314-023-02395-7MaRDI QIDQ6095386
Publication date: 8 September 2023
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
Cites Work
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- Post-'87 crash fears in the S\&P 500 futures option market
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- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Abel's lemma on summation by parts and basic hypergeometric series
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Option Pricing With Model-Guided Nonparametric Methods
- Arbitrage-free smoothing of the implied volatility surface
- A multiple Abel summation formula and asymptotic evaluations for multiple sums
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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