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Belomestny et al., 2017 - Google Patents

Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation

Belomestny et al., 2017

Document ID
4396867958475670403
Author
Belomestny D
Haerdle W
Krymova E
Publication year
Publication venue
International Journal of Theoretical and Applied Finance

External Links

Snippet

We study the problem of nonparametric estimation of the risk-neutral densities from options data. The underlying statistical problem is known to be ill-posed and needs to be regularized. We propose a novel regularized empirical sieve approach for the estimation of …
Continue reading at www.worldscientific.com (other versions)

Classifications

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    • G06Q10/00—Administration; Management
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