Dynamics of state price densities
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- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
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- Zdenek Hlavka & Michal Pesta, 2006. "Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing," SFB 649 Discussion Papers SFB649DP2006-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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"Likelihood-based scoring rules for comparing density forecasts in tails,"
Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
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More about this item
KeywordsOption pricing State price density Nonlinear least squares Constrained estimation;
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