Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón(Elsevier, 2012-06)
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black-Scholes problem. Nonlinear models appear when transaction ...
[EN] This paper presents a method for estimating the conditional and joint probability densities of multiple random variables using quantile regression, established by Koenker and Bassett (1978), for which the statistical ...