Nonparametric estimates of pricing functionals
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jempfin.2017.07.005
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Carlo Marinelli & Stefano d'Addona, 2015. "Nonparametric estimates of pricing functionals," Papers 1506.06568, arXiv.org, revised Sep 2017.
References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- repec:bla:jfinan:v:58:y:2003:i:2:p:753-778 is not listed on IDEAS
- Brendan K. Beare & Lawrence D. W. Schmidt, 2016.
"An Empirical Test of Pricing Kernel Monotonicity,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
- Beare, Brendan K. & Schmidt, Lawrence, 2011. "An Empirical Test of Pricing Kernel Monotonicity," University of California at San Diego, Economics Working Paper Series qt5572n8pc, Department of Economics, UC San Diego.
- Peter Carr & Liuren Wu, 2003.
"The Finite Moment Log Stable Process and Option Pricing,"
Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
- Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.
- Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. "Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-1632, December.
- Rosenberg, Joshua V. & Engle, Robert F., 2002.
"Empirical pricing kernels,"
Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
- Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
- Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003.
"Stochastic Volatility for Lévy Processes,"
Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
- Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.
- Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
- Grith, Maria & Härdle, Wolfgang Karl & Schienle, Melanie, 2010. "Nonparametric estimation of risk-neutral densities," SFB 649 Discussion Papers 2010-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:bla:jfinan:v:53:y:1998:i:2:p:499-547 is not listed on IDEAS
- repec:dau:papers:123456789/1392 is not listed on IDEAS
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Carlo Marinelli, 2024. "On certain representations of pricing functionals," Annals of Finance, Springer, vol. 20(1), pages 91-127, March.
- Carlo Marinelli & Stefano d’Addona, 2023. "Nonparametric estimates of option prices via Hermite basis functions," Annals of Finance, Springer, vol. 19(4), pages 477-522, December.
- Carlo Marinelli & Stefano d'Addona, 2022. "Nonparametric estimates of option prices via Hermite basis functions," Papers 2209.09656, arXiv.org, revised Aug 2023.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ricardo Crisóstomo, 2021.
"Estimating real‐world probabilities: A forward‐looking behavioral framework,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Carr, Peter & Wu, Liuren, 2004.
"Time-changed Levy processes and option pricing,"
Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
- Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
- Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working Papers
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
- Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
- Indranil Sengupta, 2016. "Generalized Bn–S Stochastic Volatility Model For Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-23, March.
- Jingzhi Huang & Liuren Wu, 2004.
"Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes,"
Finance
0401002, University Library of Munich, Germany.
- Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
- Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
- Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
- Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018.
"A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 425-460.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Song, Zhaogang & Xiu, Dacheng, 2016.
"A tale of two option markets: Pricing kernels and volatility risk,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
- Zhaogang Song & Dacheng Xiu, 2014. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series 2014-58, Board of Governors of the Federal Reserve System (U.S.).
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013.
"Forecasting with Option-Implied Information,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656,
Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Santa-Clara, Pedro & Saretto, Alessio, 2009.
"Option strategies: Good deals and margin calls,"
Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
- Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
- Liuren Wu, 2006.
"Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns,"
The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
- Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, University Library of Munich, Germany.
- Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
- Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
More about this item
Keywords
Nadaraya–Watson estimator; Option pricing; Implied volatility estimators; Smoothing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jempfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.