Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity.
Ana Margarida MonteiroReha H. TütüncüLuís Nunes VicentePublished in: Eur. J. Oper. Res. (2008)
Keyphrases
- probability density function
- risk neutral
- cubic spline
- risk averse
- curve fitting
- b spline
- risk aversion
- probability distribution
- risk sensitive
- utility function
- mixture model
- shape parameters
- statistical methods
- expectation maximization
- bayesian framework
- gaussian mixture model
- em algorithm
- long run
- low dimensional
- decision makers
- reinforcement learning