Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-019-09156-x.pdf
Reference35 articles.
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3. Aït-Sahalia, Y., & Lo, A. W. (2000). Nonparametric risk management and implied risk aversion. Journal of Econometrics, 94(1), 9–51.
4. Aït-Sahalia, Y., Wang, Y., & Yared, F. (2001). Do option markets correctly price the probabilities of movement of the underlying asset? Journal of Econometrics, 102(1), 67–110.
5. Banz, R. W., & Miller, M. H. (1978). Prices for state-contingent claims: Some estimates and applications. Journal of Business, 51(4), 653–672.
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