Consistent Estimation of Pricing Kernels from Noisy Price Data
Statistics Theory
2008-12-10 v1 Numerical Analysis
Statistical Finance
Statistics Theory
Abstract
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent. Keywords: -entropy, non-parametric estimation, pricing kernel, inverse problems.
Cite
@article{arxiv.math/0310223,
title = {Consistent Estimation of Pricing Kernels from Noisy Price Data},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:math/0310223},
year = {2008}
}
Comments
13 pages