8
Estimating State-Price Densities with Nonparametric Regression
8.1
Introduction
8.2
Extracting the SPD using Call-Options
8.3
Semiparametric estimation of the SPD
8.4
An Example: Application to DAX data
8.4.1
Data
8.4.2
SPD, delta and gamma
8.4.3
Bootstrap confidence bands
8.4.4
Comparison to Implied Binomial Trees
Bibliography