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Härdle, W. and Yatchew, A. (2001) Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap. Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes No. 2002, 16.

has been cited by the following article:

• TITLE: State Price Density Estimation and Nonparametric Pricing of Basket Options

  AUTHORS: Yuming Kuang, Tze Leung Lai

  KEYWORDS: Basket Options, Portfolio Weights, Joint State Price Density

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.5, November 30, 2015

  ABSTRACT: This paper develops a novel method to price basket options by using an application-driven approach to estimating the state price density of the basket or the joint state price density of the asset prices in the basket. In this connection, we also discuss the difference between the application-driven and the traditional statistical approach to density estimation.