Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
提出一种直接半参数方法，从期权报价中估计状态价格密度，无需对资产价格动态做参数假设，且与无套利条件一致，模拟和实际数据表现良好。
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability density function. We model the logarithm of the latter as a smooth function while matching the expected values of the potential pay-offs with the observed prices. This leads to a special case of the penalized composite link model. Our estimates do not rely on any parametric assumption on the underlying asset price dynamics and are consistent with no-arbitrage conditions. The model shows excellent performance in simulations and in application to real data.