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Conditional Density Models for Asset Pricing
option pricing implied volatility Breeden-Litzenberger equation
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2010/10/22
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
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2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
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2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...
Effects of Plant Population Density on Net Revenues from Ultra-Narrow-Row Cotton
Plant Population Density Net Revenues Ultra-Narrow-Row Cotton
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2008/12/10
A common characteristic of ultra-narrow-row cotton (Gossypium hirsutum L.) production is the use of high plant population densities (PPD) compared to wide-row cotton. Farmers are concerned about the h...