Title of article
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Author/Authors
Ana Margarida Monteiro، نويسنده , , Reha H. Tütüncü، نويسنده , , Lu?s N. Vicente، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
18
From page
525
To page
542
Keywords
Quadratic programming , Option Pricing , semidefinite programming , Risk-neutral density estimation , Cubic splines
Journal title
European Journal of Operational Research
Serial Year
2008
Journal title
European Journal of Operational Research
Record number
217528
Link To Document