222
Views
5
CrossRef citations to date
0
Altmetric
Research Papers

Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails

Pages 1857-1879 | Received 02 Nov 2009, Accepted 17 Oct 2012, Published online: 11 Mar 2013

References

  • Anderson , M. and Lomakka , M. 2005 . Evaluating implied RNDs by some new confidence interval estimation techniques . J. Bank. Finance , 29 : 1535 – 1557 .
  • Bakshi , G. , Cao , C. and Chen , Z. 1997 . Empirical performance of alternative option pricing models . J. Finance , 52 : 2003 – 2049 .
  • Bliss , R. and Panigirtzoglou , N. 2002 . Testing the stability of implied probability density functions . J. Bank. Finance , 26 : 381 – 422 .
  • Bondarenko , O. 2003 . Estimation of risk neutral densities using positive convolution approximation . J. Econometr. , 116 : 85 – 112 .
  • Breeden , D. and Litzenberger , R. 1978 . Prices of state contingent claims implicit in option prices . J. Business , 51 : 621 – 652 .
  • Bu , R. and Hadry , K. 2007 . Estimating option implied risk-neutral densities using spline and hypergeometric functions . Econometr. J. , 10 : 216 – 244 .
  • Buraschi , A. and Jackwerth , J. 2001 . The price of a smile: hedging and spanning in option markets . Rev. Financ. Stud. , 14 : 495 – 527 .
  • Campa , J.M. , Chang , P.H.K. and Reider , R.L. 1998 . Implied exchange rate distributions: evidence from OTC option markets . J. Int. Money Finance , 17 : 117 – 160 .
  • Carr , P. and Wu , L. 2003 . Finite moment log stable process and option pricing . J. Finance , 58 : 753 – 777 .
  • Carr , P. and Wu , L. 2009 . Variance risk premia . Rev. Financ. Stud. , 22 ( 3 ) : 1311 – 1341 .
  • Cox , J. and Ross , S. 1976 . The valuation of options for alternative stochastic processes . J. Financ. Econ. , 3 : 145 – 166 .
  • de Boor , C. 1978 . A Practical Guide to Splines , Berlin : Springer . pp. 113–115
  • Fengler , M.R. 2009 . Arbitrage-free smoothing of the implied volatility surface . Quant. Finance , 9 ( 4 ) : 417 – 428 .
  • Fisher, M.E., Nychka, D. and Zervos, D., Fitting the term structure of interest rates with smoothing splines. Working Paper, Board of Governors of the Federal Reserve System, 1995.
  • Jackwerth , J. and Rubinstein , M. 1996 . Recovering probability distributions from option prices . J. Finance , 51 : 1611 – 1631 .
  • Jiang , G.J. and Tian , Y.S. 2005 . Model-free implied volatility and its information content . Rev. Financ. Stud. , 18 ( 4 ) : 1305 – 1342 .
  • Jiang , G.J. and Tian , Y.S. 2007 . Extracting model-free volatility from option prices: an examination of the VIX index . J. Deriv. , Spring : 1 – 26 .
  • Kullback , S. and Leibler , R.A. 1951 . On information and sufficiency . Ann. Math. Statist. , 22 : 79 – 86 .
  • Malz , A.M. 1997 . Estimating the probability distribution of the future exchange rate from options prices . J. Deriv. , 5 : 18 – 36 .
  • McCulloch , J.H. 1971 . Measuring the term structure of interest rates . J. Business , 44 : 19 – 31 .
  • McCulloch , J.H. 1975 . The tax-adjusted yield curve . J. Finance , 30 : 811 – 830 .
  • Monterio , A.M. , Tütüncü , R. and Vicente , L.N. 2008 . Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity . Eur. J. Oper. Res. , 187 : 525 – 542 .
  • Panigirtzoglou , N. and Skiadopoulos , G. 2004 . A new approach to modeling the dynamics of implied distribution: theory and evidence from the S&P500 options . J. Bank. Finance , 28 : 1499 – 1520 .
  • Ross , S. 1976 . Options and efficiency . Q. J. Econ. , 90 : 75 – 89 .
  • Shimko , D.C. 1993 . Bounds of probability . Risk , 6 : 33 – 37 .
  • Stoll , H.R. and Whaley , R.E. 1987 . Program trading and expiration-day effects . Financ. Anal. J. , 43 : 16 – 28 .
  • Stutzer , M. 1996 . A simple nonparametric approach to derivative security valuation . J. Finance , 51 : 1633 – 1652 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.