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@article{ Härdle2009,
 title = {Dynamics of state price densities},
 author = {Härdle, Wolfgang and Hlávka, Zdeněk},
 journal = {Journal of Econometrics},
 number = {1},
 pages = {1-15},
 volume = {150},
 year = {2009},
 doi = {https://doi.org/10.1016/j.jeconom.2009.01.005},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-212436},
 abstract = {State price densities (SPDs) are an important element in applied quantitative finance. In a Black-Scholes world they are lognormal distributions but in practice volatility changes and the distribution deviates from log-normality. In order to study the degree of this deviation, we estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call pricing function. The estimator is constrained so as to satisfy no-arbitrage constraints and corrects for the intraday covariance structure in option prices. In contrast to existing methods, we do not use any parametric or smoothness assumptions.},
}