State price density estimation via nonparametric mixtures
نویسندگان
چکیده
منابع مشابه
State Price Density Estimation via Nonparametric Mixtures
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems, we only observe option prices and their corresponding strike prices rather than samples from the state price density. We propose to model the state price density directly with a nonparametric mixture and estimate it using least squares. We show that although t...
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We consider the state price densities that are implicit in financial asset prices. In the pricing of an option, the state price density is proportional to the second derivative of the option pricing function and this relationship together with no arbitrage principle imposes restrictions on the pricing function such as monotonicity and convexity. Since the state price density is a proper density...
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2009
ISSN: 1932-6157
DOI: 10.1214/09-aoas246