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 :
https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=217528
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