Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
构建了期权价格中隐含的状态价格密度的非参数估计量，并推导其渐近抽样理论，为定价新证券提供无套利方法，同时捕捉资产回报的负偏度和超额峰度等特征。
ABSTRACT Implicit in the prices of traded financial assets are Arrow–Debreu prices or, with continuous states, the state‐price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and we derive its asymptotic sampling theory. This estimator provides an arbitrage‐free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an asset‐pricing perspective, for example, negative skewness and excess kurtosis for asset returns, and volatility “smiles” for option prices. We perform Monte Carlo experiments and extract the SPD from actual S&P 500 option prices.