Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/5476
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Monteiro, Ana Margarida | - |
dc.contributor.author | Tütüncü, Reha H. | - |
dc.contributor.author | Vicente, Luís N. | - |
dc.date.accessioned | 2008-09-01T15:53:00Z | - |
dc.date.available | 2008-09-01T15:53:00Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | European Journal of Operational Research. 187:2 (2008) 525-542 | en_US |
dc.identifier.uri | https://hdl.handle.net/10316/5476 | - |
dc.description.abstract | 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 optimization problem, used to invert the data and determine the corresponding density function, is a convex quadratic or semidefinite programming problem, depending on the formulation. Both of these problems can be efficiently solved by numerical optimization software. | en_US |
dc.description.uri | http://www.sciencedirect.com/science/article/B6VCT-4NC4M8X-2/1/fed44dd574a24dbc1e9cd48bdb8185b0 | en_US |
dc.format.mimetype | aplication/PDF | en |
dc.language.iso | eng | eng |
dc.rights | openAccess | eng |
dc.subject | Option pricing | en_US |
dc.subject | Risk-neutral density estimation | en_US |
dc.subject | Cubic splines | en_US |
dc.subject | Quadratic programming | en_US |
dc.subject | Semidefinite programming | en_US |
dc.title | Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity | en_US |
dc.type | article | en_US |
uc.controloAutoridade | Sim | - |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
crisitem.author.researchunit | Group for Monetary and Financial Studies | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0003-3433-1695 | - |
crisitem.author.orcid | 0000-0003-1097-6384 | - |
Appears in Collections: | FEUC- Artigos em Revistas Internacionais |
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filee36f04dffc83495aaa0f22f50d912326.pdf | 606.47 kB | Adobe PDF | View/Open |
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