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Density Functionals, With An Option-Pricing Application

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  • Abadir, Karim M.
  • Rockinger, Michael

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  • Abadir, Karim M. & Rockinger, Michael, 2003. "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, vol. 19(05), pages 778-811, October.
  • Handle: RePEc:cup:etheor:v:19:y:2003:i:05:p:778-811_19
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    Cited by:

    1. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
    2. Caporale, Guglielmo Maria & Cerrato, Mario, 2008. "Chebyshev polynomial approximation to approximate partial differential equations," SIRE Discussion Papers 2008-15, Scottish Institute for Research in Economics (SIRE).
    3. Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2008. "Mixtures of t-distributions for finance and forecasting," Journal of Econometrics, Elsevier, vol. 144(1), pages 175-192, May.
    4. Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008. "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 33-52, May.
    5. Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016. "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
    6. Guglielmo Caporale & Mario Cerrato, 2010. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
    7. repec:eee:eneeco:v:64:y:2017:i:c:p:440-457 is not listed on IDEAS
    8. Stübinger, Johannes & Walter, Dominik & Knoll, Julian, 2017. "Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data," FAU Discussion Papers in Economics 19/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    9. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Research Papers 200510, University of Liverpool Management School.
    10. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J, 2014. "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers 1122, Board of Governors of the Federal Reserve System (U.S.).
    11. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.
    12. Monteiro, Ana Margarida & Tutuncu, Reha H. & Vicente, Luis N., 2008. "Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity," European Journal of Operational Research, Elsevier, vol. 187(2), pages 525-542, June.
    13. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
    14. A. Monteiro & R. Tütüncü & L. Vicente, 2011. "Estimation of risk-neutral density surfaces," Computational Management Science, Springer, vol. 8(4), pages 387-414, November.
    15. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
    16. Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
    17. Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015. "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 106-125.
    18. Karim M. Abadir, 2013. "Lies, Damned Lies, and Statistics? Examples From Finance and Economics," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(4), pages 231-248, December.
    19. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers 09-02, Queen's Management School, Queen's University Belfast.

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