Timeline for Estimation of Radon–Nikodym derivative from historical returns and option price data
Current License: CC BY-SA 4.0
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| S Sep 9, 2019 at 15:45 | history | suggested | Mats Lind | CC BY-SA 4.0 |
ugly misspelling in headline
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| Sep 9, 2019 at 13:54 | review | Suggested edits | |||
| S Sep 9, 2019 at 15:45 | |||||
| Sep 6, 2019 at 13:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| May 13, 2019 at 10:46 | comment | added | Confounded | @ilovevolatility No, I am not aware of that paper. The issue I have encountered when performing a numerical minimisation of the Lagrangian is that the resulting coefficients mean that the term in the exponential can grow to positive infinity, so the tails of the real world distribution also have to fall off at an exponential rate or the resulting risk-neutral "distribution" will blow up. | |
| May 9, 2019 at 15:00 | history | tweeted | twitter.com/StackQuant/status/1126502231136776192 | ||
| May 9, 2019 at 14:01 | comment | added | Lisa Ann | @ilovevolatility, just read the paper. Yes, it's like what I am suggesting to do. Nonetheless, forward price constraints can be already imposed when you estimate a log-normal mixture on the underlying (returns) distribution. Maybe there's no need to minimize the relative entropy with such constraint My two cents. | |
| May 9, 2019 at 12:30 | comment | added | user34971 | I suppose you have tried / are aware of this approach: papers.ssrn.com/sol3/papers.cfm?abstract_id=170629 | |
| May 9, 2019 at 12:19 | comment | added | Lisa Ann | What if you had two parametric density functions, the first one (1) from the physical world and the second one (2) from the risk-neutral world? Would you be able to get the Radon-Nikodym derivative? You can get (1) by FHS and then by fitting a log-normal mixture, then you can do the same for (2) by constraining the mean to the forward price. You'll get two parametric densities, which you can even fit with a spline to have a smooth derivative of both. How does that sound? | |
| May 9, 2019 at 12:03 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Apr 9, 2019 at 11:33 | answer | added | Antoine Conze | timeline score: 1 | |
| Apr 9, 2019 at 10:15 | history | edited | Confounded | CC BY-SA 4.0 |
added 207 characters in body
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| Apr 9, 2019 at 10:09 | history | asked | Confounded | CC BY-SA 4.0 |