Recovering Risk-Neutral Probability Density Functions From Options Prices Using Cubic Splines and Ensuring Nonnegativity

European Journal of Operational Research - Netherlands
doi 10.1016/j.ejor.2007.02.041
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Estimation of the Risk-Neutral Density Function From Option Prices

English

Cubic Splines.

FASEB Journal
BiochemistryBiotechnologyGeneticsMolecular BiologyMedicine
1988English

Implicit Representation and Scene Reconstruction From Probability Density Functions

English

Some Probability Density Functions and Their Characteristic Functions

Mathematics of Computation
Computational MathematicsApplied MathematicsNumber TheoryAlgebra
1973English

Estimating Probability Density Functions and Entropies of Chua's Circuit Using B-Spline Functions

International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
ModelingEngineeringMultidisciplinaryApplied MathematicsSimulation
2012English

On Interpolation of Functions With a Boundary Layer by Cubic Splines

2016English

Continuation of Probability Density Functions Using a Generalized Lyapunov Approach

Journal of Computational Physics
Numerical AnalysisApplied MathematicsSimulationComputer Science ApplicationsModelingComputational MathematicsAstronomyPhysics
2017English

Translating Probability Density Functions: From R to BUGS and Back Again

R Journal
UncertaintyNumerical AnalysisStatisticsProbability
2013English

Improved Orders of Approximation Derived From Interpolatory Cubic Splines

BIT Numerical Mathematics
Computer NetworksApplied MathematicsSoftwareComputational MathematicsCommunications
1979English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy