Dynamics of State Price Densities
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References listed on IDEAS
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Cited by:
- Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
- Matthias Fengler, 2009.
"Arbitrage-free smoothing of the implied volatility surface,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 417-428.
- Matthias R. Fengler, 2005. "Arbitrage-Free Smoothing of the Implied Volatility Surface," SFB 649 Discussion Papers SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
Keywords
option pricing; state price density estimation; nonlinear least squares; confidence intervals;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-12-01 (Econometrics)
- NEP-FIN-2005-12-01 (Finance)
- NEP-FOR-2005-12-01 (Forecasting)
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