Timeline for Estimation of Risk-Neutral Densities Using Positive Convolution Approximation - Python
Current License: CC BY-SA 4.0
12 events
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| Jun 11, 2020 at 15:42 | comment | added | user47423 | I have questions about the code. 1. The synthetic price in Bondarenko includes two terms before the dot product of ak with double integral. These correspond to the double integral left of the listed strike range. I cannot find them in this code. 2. Also there is likely a typo in formula Bondarenko gave for double integral he wrote double integral=density - x * integral of density I get double integral = x * integral of density - integral of x* density the code uses a third expression double integral = x* integral of density + density. If you differentiate this or Bondarenko's formula, result d | |
| Feb 27, 2019 at 16:24 | history | edited | William Burknecht | CC BY-SA 4.0 |
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| Feb 27, 2019 at 15:11 | history | edited | William Burknecht | CC BY-SA 4.0 |
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| Feb 27, 2019 at 15:06 | vote | accept | William Burknecht | ||
| Feb 25, 2019 at 8:18 | answer | added | Attack68♦ | timeline score: 1 | |
| Feb 24, 2019 at 21:21 | history | edited | William Burknecht | CC BY-SA 4.0 |
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| Feb 22, 2019 at 3:00 | history | tweeted | twitter.com/StackQuant/status/1098779563868463104 | ||
| Feb 21, 2019 at 19:39 | answer | added | Attack68♦ | timeline score: 4 | |
| Feb 19, 2019 at 21:10 | comment | added | William Burknecht | @LocalVolatility Thanks. Yes, they are just constants. Indeed, could be a way to tackle the problem. However, this would imply that I would need to vectorize the integrals over an array and therefore could not use scipy.integrate.dblquad since it employs an adaptive algorithm. Thus, I would need to use np.trapz, scipy.integrate.simps, or scipy.integrate.romb and not be allowed to use a function object. Right? | |
| Feb 19, 2019 at 17:02 | comment | added | LocalVolatility | So the $a_j$ terms are just constants? If yes, then just pull them out of the double integral? | |
| Feb 19, 2019 at 13:50 | review | First posts | |||
| Feb 19, 2019 at 13:56 | |||||
| Feb 19, 2019 at 13:49 | history | asked | William Burknecht | CC BY-SA 4.0 |