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
8.3.1
Estimating the call pricing function
8.3.2
Further dimension reduction
8.3.3
Local Polynomial Estimation
8.4
An Example: Application to DAX data
Bibliography