Nonparametric statistical methods and the pricing of derivative securities (Q1613222)
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scientific article; zbMATH DE number 1791693
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric statistical methods and the pricing of derivative securities |
scientific article; zbMATH DE number 1791693 |
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Nonparametric statistical methods and the pricing of derivative securities (English)
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28 August 2002
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Summary: We summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an internally consistent model.
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nonparametric methods
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option pricing
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exotic derivatives
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term-structure of interest rates
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