Nonparametric Methods and Option Pricing
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- GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
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Citations
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Cited by:
- Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015.
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- Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers 2013-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- 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.
- Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.
- Garcia, Rene & Gencay, Ramazan, 2000.
"Pricing and hedging derivative securities with neural networks and a homogeneity hint,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115.
- René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
- repec:hum:wpaper:sfb649dp2013-026 is not listed on IDEAS
- Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
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More about this item
Keywords
Derivative securities; kernel estimation; risk neutral densities; Titres dérivés; estimation par la méthode de noyau; densités à risque neutre;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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