Estimation of risk-neutral densities using positive convolution approximation Frontiers of financial econometrics and financial engineering

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Bibliographic Details
Published inJournal of econometrics Vol. 116; no. 1-2; pp. 85 - 112
Main Author BONDARENKO, Oleg
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier 2003
Subjects
Applied sciences
Distribution theory
Exact sciences and technology
Linear inference, regression
Mathematics
Nonparametric inference
Operational research and scientific management
Operational research. Management science
Portfolio theory
Probability and statistics
Sciences and techniques of general use
Statistics
Mixed distribution
Density estimation
Monte Carlo method
Hermite polynomial
Conditional distribution
Approximation
Statistical distribution
Process control
Regression
Non parametric estimation
Risk
Statistical estimation
Positive convolution approximation
Polynomial method
Kernel method
Numerical approximation
Regularization method
Risk estimation
Convolution
Price
Small sample
Approximation theory
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ISSN:0304-4076
1872-6895