英文标题：
《Matching distributions: Recovery of implied physical densities from
option prices》
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作者：
Jarno Talponen
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最新提交年份：
2018
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英文摘要：
We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered foir instance in the Recovery Theorem by Ross (2015), except that here we consider a non-dynamical setting. The recovery of the distribution is complete, instead of estimating merely a finite number of its parameters, such as implied volatility, skew or kurtosis. The technique is based on a reverse application of recently introduced Distribution Matching by the author and is related to the ideas in Distribution Pricing by Dybvig (1988) as well as comonotonicity.
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中文摘要：
我们介绍了一种基于欧式期权价格和其他稀疏参数信息恢复资产收益率物理概率分布的非参数方法。因此，主要问题类似于Ross（2015）在恢复定理中考虑的foir实例，但这里我们考虑的是非动态设置。分布的恢复是完全的，而不是仅仅估计有限数量的参数，如隐含波动率、偏斜或峰度。该技术基于作者最近引入的分布匹配的反向应用，并与Dybvig（1988）的分布定价思想以及共单调性有关。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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