A new representation of the risk-neutral distribution and its applications
Author:
Affiliation:
1. School of Business, Stevens Institute of Technology, Hoboken, NJ, 07030, USA
2. Gabelli School of Business, Fordham University, New York, NY, 10019, USA
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.2013520
Reference59 articles.
1. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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3. Nonparametric option pricing under shape restrictions
4. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
5. Nonparametric risk management and implied risk aversion
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