References
- Aït-Sahalia , Y. and Duarte , J. 2003 . Nonparametric option pricing under shape restrictions . Journal of Econometrics , 116 ( 1–2 ) : 9 – 47 . (doi:10.1016/S0304-4076(03)00102-7)
- Aït-Sahalia , Y. and Lo , A. W. 1998 . Non-parametric estimation of state-price densities implicit in financial asset prices . Journal of Finance , 53 ( 2 ) : 499 – 547 . (doi:10.1111/0022-1082.215228)
- Barone-Adesi , G. , Engle , R. F. and Mancini , L. 2008 . A GARCH option pricing model with filtered historical simulation . Review of Financial Studies , 21 ( 3 ) : 1223 – 58 . (doi:10.1093/rfs/hhn031)
- Bliss , R. and Panigirtzoglou , N. 2002 . Testing the stability of implied probability density function . Journal of Banking & Finance , 26 ( 2–3 ) : 381 – 422 . (doi:10.1016/S0378-4266(01)00227-8)
- Bowie , J. and Carr , P. 1994 . Static simplicity . Risk , 7 ( 8 ) : 45 – 9 .
- Breeden , D. and Litzenberger , R. 1978 . Prices of state-contingent claims implicit in options prices . Journal of Business , 51 ( 4 ) : 621 – 51 . (doi:10.1086/296025)
- Figlewski , S. 2008 . “ Estimating the implied risk neutral density for the U.S. market portfolio ” . In Volatility and time series econometrics: Essays in honor of Robert F. Engle , Edited by: Bollerslev , T. , Russell , J. R. and Watson , M. 323 – 54 . Oxford : Oxford, University Press .
- Garman , M. B. 1976 . An algebra for evaluating hedge portfolios . Journal of Financial Economics , 3 ( 4 ) : 403 – 27 . (doi:10.1016/0304-405X(76)90029-5)
- Garman , M. B. and Ohlson , J. A. 1981 . Valuation of risky assets in arbitrage-free economies with transactions costs . Journal of Financial Economics , 9 ( 3 ) : 271 – 80 . (doi:10.1016/0304-405X(81)90029-5)
- Katz , P. and Prisman , E. Z. 1991 . Arbitrage, clientele effects, and the term structure of interest rates . The Journal of Financial and Quantitative Analysis , 26 ( 4 ) : 435 – 43 . (doi:10.2307/2331404)
- Phillips , G. M. and Taylor , P. J. 1970 . Approximation of convex data . BIT , 10 ( 3 ) : 324 – 32 . (doi:10.1007/BF01934201)
- Ross , S. A. 1976 . The arbitrage theory of capital asset pricing . Journal of Economic Theory , 13 ( 3 ) : 341 – 60 . (doi:10.1016/0022-0531(76)90046-6)
- Rubinstein , M. 1994 . Implied binomial tree . Journal of Finance , 49 ( 3 ) : 771 – 818 . (doi:10.1111/j.1540-6261.1994.tb00079.x)
- Rubinstein, M., and A. Vijh. 1987. The Berkeley options data base: A tool for empirical research. Vol. 2, Advances in futures and options research, 209–22. Greenwich, CT: JAI Press, Inc.
- Stutzer , M. 1996 . A simple nonparametric approach to derivative security valuation . The Journal of Finance , 51 ( 5 ) : 1633 – 52 . (doi:10.1111/j.1540-6261.1996.tb05220.x)