Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

DOI10.1016/j.jeconom.2024.105748MaRDI QIDQ6554222

Yifan Li, Ingmar Nolte, Manh Cuong Pham

Publication date: 12 June 2024

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

zbMATH Keywords

parametric modellingrisk-neutral densitymixture-of-distribution method

Mathematics Subject Classification ID

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

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