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Estimation of risk-neutral densities using positive convolution approximation

  • Bondarenko, Oleg
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-487194W-2/2/6619584a58a249d0407165e374df2a9a
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 116 (2003)
    Issue (Month): 1-2 ()
    Pages: 85-112

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    Handle: RePEc:eee:econom:v:116:y:2003:i:1-2:p:85-112
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    20. Peter A. Abken & Dilip B. Madan & Sailesh Ramamurtie, 1996. "Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options," Working Paper 96-5, Federal Reserve Bank of Atlanta.
    21. Jackwerth, Jens Carsten, 1999. "Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," MPRA Paper 11634, University Library of Munich, Germany.
    22. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
    23. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
    24. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December.
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    28. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
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