Title:

Conditional Risk-Neutral Density from Option Prices by Local Polynomial Kernel Smoothing with No-Arbitrage Constraints

Authors:

Ana M. Monteiro (U Coimbra)
António Santos (U Coimbra)

Journal:

Review Of Derivatives Research

Year:

2020

Volume:

23

Number:

1

Pages:

41-61

JEL code:

G13 - Contingent Pricing; Futures Pricing

DOI:

10.1007/s11147-019-09156-x