Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
We present a new approach to estimate the risk-neutral probability density function (pdf) of the future prices of an underlying asset from the prices of options written on the asset. The estimation is carried out in the space of cubic spline functions, yielding appropriate smoothness. The resulting...
| Autor principal: | |
|---|---|
| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2008
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10316/5476 |
| País: | Portugal |
| Oai: | oai:estudogeral.sib.uc.pt:10316/5476 |