Fast algorithm for nonparametric arbitrage-free SPD estimation

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2339-2349

  Hlávka, Zdeněk ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Constrained estimation; Nonlinear least squares; Option pricing

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; LEAST SQUARES APPROXIMATIONS; MARKETING; MATHEMATICAL MODELS; PARAMETER ESTIMATION;

CONSTRAINED ESTIMATION; NONLINEAR LEAST SQUARES; OPTION PRICING; STATE PRICE DENSITY (SPD);

FINANCIAL DATA PROCESSING;

EID: 33750997272     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.006     Document Type: Article

References (6)

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