Fast algorithm for nonparametric arbitrage-free SPD estimation

DOI10.1016/J.CSDA.2006.08.006zbMath1157.62521OpenAlexW1993574829MaRDI QIDQ1010575

Zdeněk Hlávka

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.006

zbMATH Keywords

option pricingnonlinear least squaresconstrained estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Nonparametric option pricing under shape restrictions
• Nonparametric risk management and implied risk aversion
• Unnamed Item

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