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Composite smooth estimation of the state price density implied in option prices
Frasso, Gianluca
2014In Kneib, Thomas; Sobotka, Fabian; Fahrenholz, Jan et al. (Eds.) 29th International Workshop on Statistical Modelling, Göttingen, Germany, 2014, Proceedings
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Keywords :
No arbitrage conditions; PCLM; Option pricing; SPD
Abstract :
[en] We propose a new semi-parametric approach for the estimation of the State Price Density (SPD) implied in option prices. Our procedure is inspired by a Penalized Composite Link Model (PCLM) approach and ensures smooth and arbitrage-free estimates.
Disciplines :
Physical, chemical, mathematical & earth Sciences: Multidisciplinary, general & others
Author, co-author :
Frasso, Gianluca ;  Université de Liège > Faculté des sciences sociales > Méthodes quantitatives en sciences sociales
Language :
English
Title :
Composite smooth estimation of the state price density implied in option prices
Publication date :
July 2014
Event name :
29th International Workshop on Statistical Modelling
Event place :
Göttingen, Germany
Event date :
From 14-07-2014 to 18-07-2014
Audience :
International
Main work title :
29th International Workshop on Statistical Modelling, Göttingen, Germany, 2014, Proceedings
Editor :
Kneib, Thomas
Sobotka, Fabian
Fahrenholz, Jan
Irmer, Henriette
Peer reviewed :
Peer reviewed
Funders :
IAP research network P7/06 of the Belgian Government (Belgian Science Policy)
Available on ORBi :
since 23 November 2015

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