Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25152
Authors: 
Hlávka, Zdeněk
Peésta, Michal
Year of Publication: 
2006
Series/Report no.: 
SFB 649 discussion paper 2006,069
Abstract: 
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure taking into account the time of the trade and by considering simultaneously both the observed Put and Call option prices.
Subjects: 
isotonic regression
Sobolev spaces
monotonicity
multiple observations
covariance structure
option price
JEL: 
C10
C13
C14
C20
C88
G13
Document Type: 
Working Paper

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