Conditional Risk-Neutral Density from Option Prices by Local Polynomial Kernel Smoothing with No-Arbitrage Constraints
Ana M. Monteiro,
Review Of Derivatives Research,
vol. 23, 2020, p. 41-61.
Second-Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers
Journal of Business and Economic Statistics,
vol. 24, 2006, p. 329-337.