Estimation of Asset Distributions from Option Prices: Analysis and Regularization

J. Orozco Rodriguez; F. Santosa

doi:10.1137/100813245

journal article Jan 01, 2012

Estimation of Asset Distributions from Option Prices: Analysis and Regularization

J. Orozco Rodriguez F. Santosa

SIAM Journal on Financial Mathematics Vol. 3 No. 1 pp. 374-401 · Society for Industrial & Applied Mathematics (SIAM)

View at Publisher Save 10.1137/100813245

Topics

No keywords indexed for this article. Browse by subject →

References

13

[1]

Avellaneda M. Doc. Math. (1998)

[2]

10.1080/135048697334827

[3]

10.1016/s0304-4076(03)00104-0

[4]

10.1137/s1052623401400324

[5]

10.1086/296025

[6]

10.2307/2331391

[7]

The valuation of options for alternative stochastic processes

John C. Cox, STEPHEN A. ROSS

Journal of Financial Economics 10.1016/0304-405x(76)90023-4

[8]

10.1137/0914086

[9]

10.1016/0370-1573(90)90128-o

[10]

10.1007/s00780-011-0167-7

[11]

10.1002/mma.855

[12]

10.1016/j.jempfin.2010.04.007

[13]

10.1111/j.1540-6261.1996.tb05220.x

Metrics

8

Citations

13

References

Details

Published: Jan 01, 2012
Vol/Issue: 3(1)
Pages: 374-401

Authors

Cite This Article

J. Orozco Rodriguez, F. Santosa (2012). Estimation of Asset Distributions from Option Prices: Analysis and Regularization. SIAM Journal on Financial Mathematics, 3(1), 374-401. https://doi.org/10.1137/100813245

Estimation of Asset Distributions from Option Prices: Analysis and Regularization

You May Also Like