1. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May. [Downloadable!] (restricted)
2. Andreas Gottschling & Christian Haefke & Halbert White, 2000. "Closed Form Integration of Artificial Neural Networks with Some Applications to Finance," Econometric Society World Congress 2000 Contributed Papers 1080, Econometric Society. [Downloadable!]
   Other versions:
   • Christian Haefke & Halbert White & Andreas Gottschling, 2000. "Closed Form Integration Of Artificial Neural Networks With Some Applications To Finance," Computing in Economics and Finance 2000 366, Society for Computational Economics. [Downloadable!]
   • Andreas Gottschling & Christian Haefke & Halbert White, 1999. "Closed Form Integration of Artificial Neural Networks with Some Applications to Finance," University of California at San Diego, Economics Working Paper Series 99-24, Department of Economics, UC San Diego. [Downloadable!]
   • Andreas Gottschling & Christian Haefke & Halbert White, 1999. "Closed Form Integration of Artificial Neural Networks with Some Applications to Finance," University of California at San Diego, Economics Working Paper Series 1999-24, Department of Economics, UC San Diego. [Downloadable!]
3. Varian, Hal R, 1982. "The Nonparametric Approach to Demand Analysis," Econometrica, Econometric Society, vol. 50(4), pages 945-73, July. [Downloadable!] (restricted)
4. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn. [Downloadable!] (restricted)
5. Diewert, W. E., 1973. "Functional forms for profit and transformation functions," Journal of Economic Theory, Elsevier, vol. 6(3), pages 284-316, June. [Downloadable!] (restricted)
6. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November. [Downloadable!] (restricted)
7. E. Mammen, 1999. "Smoothing Splines and Shape Restrictions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 26(2), pages 239-252. [Downloadable!] (restricted)
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   • E. Mammen & C. Thomas-Agnan, . "Smoothing Splines And Shape Restrictions," Sonderforschungsbereich 373 1996-87, Humboldt Universitaet Berlin.
8. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
   Other versions:
   • Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
9. repec:att:wimass:199720 is not listed on IDEAS
10. Diewert, W. E. & Parkan, C., 1985. "Tests for the consistency of consumer data," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 127-147. [Downloadable!] (restricted)
11. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Yacine Aït-Sahalia & Andrew W. Lo, . "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    • Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04. [Downloadable!] (restricted)
12. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51. [Downloadable!] (restricted)
    Other versions:
    • Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October. [Downloadable!] (restricted)
14. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June. [Downloadable!] (restricted)
15. Garcia, Rene & Gencay, Ramazan, 2000. "Pricing and hedging derivative securities with neural networks and a homogeneity hint," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115. [Downloadable!] (restricted)
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    • René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO. [Downloadable!]
16. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
17. S. M. Goldman & P. A. Ruud, 1993. "Nonparametric Multivariate Regression Subject to Constraint," Econometrics 9311001, EconWPA. [Downloadable!]
18. Varian, Hal R, 1984. "The Nonparametric Approach to Production Analysis," Econometrica, Econometric Society, vol. 52(3), pages 579-97, May. [Downloadable!] (restricted)
19. Karim Abadir & Michael Rockinger, . "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.
20. Matzkin, Rosa L. & Richter, Marcel K., 1991. "Testing strictly concave rationality," Journal of Economic Theory, Elsevier, vol. 53(2), pages 287-303, April. [Downloadable!] (restricted)
21. Varian, Hal R., 1983. "Nonparametric Tests of Models of Investor Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(03), pages 269-278, September. [Downloadable!]
22. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," Journal of Business, University of Chicago Press, vol. 51(4), pages 653-72, October. [Downloadable!] (restricted)

Cited by:
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1. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December. [Downloadable!] (restricted)
2. Selim Elekdag & Prakash Kannan, 2009. "Incorporating Market Information into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund. [Downloadable!]
3. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
4. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Quantitative Finance Papers 0901.0033, arXiv.org. [Downloadable!]
5. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
6. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
   Other versions:
   • Henri Bertholon ; Alain Monfort ; Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique, revised 2006. [Downloadable!]
7. Matthias R. Fengler, 2005. "Arbitrage-Free Smoothing of the Implied Volatility Surface," SFB 649 Discussion Papers SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
8. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Quantitative Finance Papers math/0310223, arXiv.org. [Downloadable!]
9. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
10. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]
11. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Quantitative Finance Papers math/0411034, arXiv.org. [Downloadable!]
12. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Ibmec Working Papers wpe_87, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
13. W. Härdle & A. Yatchew, . "Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap," Sonderforschungsbereich 373 2002-16, Humboldt Universitaet Berlin.
14. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Ibmec Working Papers wpe_98, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
15. Wolff, Hendrik & Heckelei, Thomas & Mittelhammer, Ron C., 2004. "Imposing Monotonicity And Curvature On Flexible Functional Forms," 2004 Annual meeting, August 1-4, Denver, CO 20256, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
16. Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]