State price density estimation via nonparametric mixtures

DOI10.1214/09-AOAS246zbMath1196.62134arXiv0910.1430MaRDI QIDQ985015

Ming Yuan

Publication date: 20 July 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.1430

zbMATH Keywords

Black-Scholes equationnonparametric mixturestate price densityEuropean call options

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ State price densities implied from weather derivatives ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Cites Work

• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Estimating a regression function
• The geometry of mixture likelihoods: A general theory
• Nonparametric option pricing under shape restrictions
• Entropies and rates of convergence for maximum likelihood and Bayes estimation for mixtures of normal densities.
• Nonparametric risk management and implied risk aversion
• A selective overview of nonparametric methods in financial econometrics
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