Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems-Reference-Cited by-同舟云学术

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Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems

Published:2021-08-20 Issue:1 Volume:42 Page:152-171
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Monteiro Ana M.¹,Santos António A. F.¹^ORCID

Affiliation:

1. Univ Coimbra, CeBER, Faculty of Economics Coimbra Portugal

Funder

Fundação para a Ciência e a Tecnologia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22258

Reference38 articles.

1. An introduction to hypergeometric functions for economists

2. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION

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

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Considering momentum spillover effects via graph neural network in option pricing;Journal of Futures Markets;2024-04-09

2. Parallel computing in finance for estimating risk-neutral densities through option prices;Journal of Parallel and Distributed Computing;2023-03

3. Research on the insurance of swimming crab temperature and salinity index insurance based on Copula function;PLOS ONE;2022-08-15

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