Natural Cubic Spline Approximation of Risk-Neutral Density

Natural Cubic Spline Approximation of Risk-Neutral Density

The risk-neutral density is a fundamental concept in pricing financial derivatives, risk management, and assessing financial markets’ perceptions over significant political or economic events. In this paper, we propose a new nonparametric method for estimating the risk-neutral density using natural...

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Bibliographic Details
Main Authors: Shuang Zhou, Liyuan Jiang, Keren Li, Fangfang Wang, Jie Yang
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:International Journal of Financial Studies
Subjects:
constrained optimization
cubic splines
option price
risk-neutral density
weighted least square loss
Online Access:https://www.mdpi.com/2227-7072/12/4/127

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https://www.mdpi.com/2227-7072/12/4/127

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