Nonparametric estimates of option prices via Hermite basis functions
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DOI: 10.1007/s10436-023-00431-4
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References listed on IDEAS
- Carlo Marinelli, 2021. "On certain representations of pricing functionals," Papers 2109.05564, arXiv.org.
- Marinelli, Carlo & d’Addona, Stefano, 2017.
"Nonparametric estimates of pricing functionals,"
Journal of Empirical Finance, Elsevier, vol. 44(C), pages 19-35.
- Carlo Marinelli & Stefano d'Addona, 2015. "Nonparametric estimates of pricing functionals," Papers 1506.06568, arXiv.org, revised Sep 2017.
- Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
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More about this item
Keywords
Option pricing; Nonparametric models; Hermite polynomials; Implied volatility;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
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