caa a22 4500 605519722 CHVBK 20210128100731.0 cr unu---uuuuu 210128e20150901xx s 000 0 eng 10.1007/s11009-014-9409-4 doi (NATIONALLICENCE)springer-10.1007/s11009-014-9409-4 Madan Dilip Robert H. Smith School of Business, University of Maryland, 20742, College Park, MD, USA aut Estimating Parametric Models of Probability Distributions [Elektronische Daten] [Dilip Madan] Noting that risk neutral distributions are estimated by minimizing the squared deviations between market and model option prices we consider using option payoff moments in estimating distributional parameters from a sample of observations. It is observed, in particular when compared to maximum likelihood estimation, that digital option payoff moments yield the lowest chisquare statistics for a test of uniformity for data transformed to the unit interval by the estimated distribution function. Springer Science+Business Media New York, 2014 Moment estimators nationallicence Digital options nationallicence Variance gamma nationallicence Double gamma model nationallicence Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/3(2015-09-01), 823-831 1387-5841 17:3<823 2015 17 11009 https://doi.org/10.1007/s11009-014-9409-4 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-014-9409-4 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Madan Dilip Robert H. Smith School of Business, University of Maryland, 20742, College Park, MD, USA aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/3(2015-09-01), 823-831 1387-5841 17:3<823 2015 17 11009