DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION

By K. Abadir, Michael Rockinger. Econometric Theory, 2003

53 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/b26aac2ad1e739d523e69d07abcb94f196bca24e

Citations in the corpus

• Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “11See Abadir and Rockinger (2003) for derivations.”
• Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, unknown): “…strand of literature where option prices are computed through an approximation of the risk-neutral density underlying the true pricing model, as in Abadir and Rockinger (2003), or in the “saddlepoint approximations”considered by Rogers and Zane (1999), Xiong, Wong, and Salopek (2005), or…”
• Forecasting with Option-Implied Information (2012, unknown): “Related approaches are proposed by Madan and Milne (1994), who use Hermite polynomials, and Abadir and Rockinger (2003), who propose the use of hypergeometric functions.”