Let X 1, X 2, ⋯ be independent identically distributed random variables having a common probability density function f. After a so-called kernel class of estimates f n of f based on X 1, ⋯, X n was ...

Asymptotic properties of estimates of a probability density function and its derivatives which use the kernel-method are studied. Some results on the rate of convergence of these estimates are ...

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for ...