Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
收藏NBER1995-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5351
下载链接
链接失效反馈官方服务：
资源简介：
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD
提供机构：
美国国家经济研究局
创建时间：
1995-11-01
