Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
基于有限对数正态—威布尔混合的参数化风险中性密度估计
This paper proposes a new parametric risk-neutral density (RND) estimator based on a finite lognormal-Weibull mixture (LWM) density. We establish the consistency and asymptotic normality of the LWM method in a general misspecified parametric framework. Based on the theoretical results, we propose a sequential test procedure to evaluate the goodness-of-fit of the LWM model, which leads to an adaptive choice for the number and type of mixture components. Our simulation results…