collaborators

1 paper

q-fin.PR2018

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps

Liyuan Jiang, Shuang Zhou, Keren Li +2

We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We ev…