Estimating State-Price Densities with Nonparametric Regression

  • Kim Huynh
  • Pierre Kervella
  • Jun Zheng
Chapter

Abstract

Derivative markets offer a rich source of information to extract the market’s expectations of the future price of an asset. Using option prices, one may derive the whole risk-neutral probability distribution of the underlying asset price at the maturity date of the options. Once this distribution also called State-Price Density (SPD) is estimated, it may serve for pricing new, complex or illiquid derivative securities.

Keywords

Option Price Call Option Nonparametric Regression Strike Price Dividend Yield 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Kim Huynh
  • Pierre Kervella
  • Jun Zheng

There are no affiliations available

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