Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market
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References listed on IDEAS
- Dilip B. Madan & Frank Milne, 1994.
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- Albert Ando & Sergio Nicoletti-Altimari, 2004. "A micro simulation model of demographic development and households' economic behavior in Italy," Temi di discussione (Economic working papers) 533, Bank of Italy, Economic Research and International Relations Area.
More about this item
Keywordsoption pricing; state-price densities; orthogonal polynomials; risk-neutral valuation; calibration;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-FIN-2006-01-24 (Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
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