Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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, April.
- Yacine Aït-Sahalia & Andrew W. Lo, "undated". "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 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.
- 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 621-651, October.
- Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 143-159, March.
- 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.
- Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies.
- Jackwerth, Jens Carsten, 1999. "Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," MPRA Paper 11634, University Library of Munich, Germany.
- 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 637-654, May-June.
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
- Campa, Jose M. & Chang, P. H. Kevin & Reider, Robert L., 1998. "Implied exchange rate distributions: evidence from OTC option markets1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 117-160, February.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
- Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-1652, December.
- Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-1632, December.
- Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
- Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 015923, UNIVERSIDAD EAFIT.
- 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.
- Alexander Veremyev & Peter Tsyurmasto & Stan Uryasev & R. Rockafellar, 2014. "Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing," Computational Management Science, Springer, vol. 11(4), pages 341-364, October.
- 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.
- Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
- Brendan K. Beare & Lawrence D. W. Schmidt, 2016.
"An Empirical Test of Pricing Kernel Monotonicity,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
- Beare, Brendan K. & Schmidt, Lawrence, 2011. "An Empirical Test of Pricing Kernel Monotonicity," University of California at San Diego, Economics Working Paper Series qt5572n8pc, Department of Economics, UC San Diego.
- Sylvain Corlay, 2013. "B-spline techniques for volatility modeling," Papers 1306.0995, arXiv.org, revised Jun 2015.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
- Raphael Hauser & Sergey Shahverdyan, 2015. "A New Approach to Model Free Option Pricing," Papers 1501.03701, arXiv.org.
- Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, Reading University.
- repec:eee:apmaco:v:258:y:2015:i:c:p:372-387 is not listed on IDEAS
- Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:187:y:2008:i:2:p:525-542. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .