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ArticleDynamics of state price densities

Wolfgang Karl Härdle2009

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Articlegreen2009

Dynamics of state price densities

Wolfgang Karl Härdle · Zdeněk Hlávka

33 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1981Martingales and stochastic integrals in the theory of continuous trading 1978Prices of State-Contingent Claims Implicit in Option Prices 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices 2000Nonparametric risk management and implied risk aversion 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES 2003Nonparametric option pricing under shape restrictions 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees

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2020A Descriptive Study of High-Frequency Trade and Quote Option Data*2011Nonparametric Estimation of Risk-Neutral Densities 2006Expensive martingales

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Details

Year2009

Typearticle

Published2009-01-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2009.01.005

openalex_workW2073874583

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