Nonparametric estimates of option prices via Hermite basis functions
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- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- 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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Cited by:
- Carlo Marinelli, 2024. "On certain representations of pricing functionals," Annals of Finance, Springer, vol. 20(1), pages 91-127, March.
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