Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A New Nonparametric Estimate of the Risk-Neutral Density with
  Applications to Variance Swaps   We develop a new nonparametric approach for estimating the risk-neutral
density of asset prices and reformulate its estimation into a
double-constrained optimization problem. We evaluate our approach using the
S\&P 500 market option prices from 1996 to 2015. A comprehensive
cross-validation study shows that our approach outperforms the existing
nonparametric quartic B-spline and cubic spline methods, as well as the
parametric method based on the Normal Inverse Gaussian distribution. As an
application, we use the proposed density estimator to price long-term variance
swaps, and the model-implied prices match reasonably well with those of the
variance future downloaded from the CBOE website.

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The categories of this paper are: q-bio
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The categories of this paper are: astro-ph
14
The categories of this paper are: math-ph
35
The categories of this paper are: mtrl-th
31
The categories of this paper are: ao-sci
29
The categories of this paper are: funct-an
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The categories of this paper are: nucl-ex
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The categories of this paper are: hep-ph
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The categories of this paper are: cond-mat
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The categories of this paper are: eess
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The categories of this paper are: dg-ga
2
The categories of this paper are: math
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The categories of this paper are: adap-org
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The categories of this paper are: chao-dyn
30
The categories of this paper are: q-alg
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The categories of this paper are: comp-gas