Nonparametric option pricing under shape restrictions

DOI10.1016/S0304-4076(03)00102-7zbMath1016.62121OpenAlexW2151447307MaRDI QIDQ1398968

Yacine Aït-Sahalia, Jefferson Duarte

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00102-7

zbMATH Keywords

monotonicity convexity kernel regression constraints state price density local polynomials

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

Resampling methods in econometrics, Nonparametric state price density estimation using constrained least squares and the bootstrap, Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints, Dynamics of state price densities, A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Bootstrap Confidence Intervals for Large-scale Multivariate Monotonic Regression Problems, An augmented Lagrangian method with constraint generation for shape-constrained convex regression problems, A selective overview of nonparametric methods in financial econometrics, Estimating risk-neutral density with parametric models in interest rate markets, Pricing European options by numerical replication: quadratic programming with constraints, THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS, Parametric modeling of implied smile functions: a generalized SVI model, A new representation of the risk-neutral distribution and its applications, The pricing kernel puzzle: survey and outlook, Arbitrage-free interpolation of call option prices, Shape constrained risk-neutral density estimation by support vector regression, Imposing curvature and monotonicity on flexible functional forms: an efficient regional approach, Spectral calibration of exponential Lévy models, Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints, Shape restricted nonparametric regression with Bernstein polynomials, A general closed form option pricing formula, A neuro-structural framework for bankruptcy prediction, Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method, A tale of two option markets: pricing kernels and volatility risk, Novel computational technique for the direct estimation of risk-neutral density using call price data quotes, Estimation of risk-neutral densities using positive convolution approximation, Semiparametric Efficiency in Convexity Constrained Single-Index Model, Asymmetric short-rate model without lower bound, Adiabaticity conditions for volatility smile in Black-Scholes pricing model, Inference for Local Parameters in Convexity Constrained Models, Can a Machine Correct Option Pricing Models?, Nonparametric Option Pricing with Generalized Entropic Estimators, SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION, Dynamic functional data analysis with non-parametric state space models, An alternative circular smoothing method to nonparametric estimation of periodic functions, Constrained smoothing \(B\)-splines for the term structure of interest rates, Shape constraints in economics and operations research, Nonparametric shape-restricted regression, A note on estimating a smooth monotone regression by combining kernel and density estimates, Identifying shifts between two regression curves, A new class of Bayesian semi-parametric models with applications to option pricing, Concave regression: value-constrained estimation and likelihood ratio-based inference, State price densities implied from weather derivatives, Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion, Non-convex isotonic regression via the Myersonian approach, Wavelet-based option pricing: an empirical study, A penalized method for multivariate concave least squares with application to productivity analysis, Semi-parametric estimation of American option prices, Nonparametric function estimation subject to monotonicity, convexity and other shape constraints, No-arbitrage interpolation of the option price function and its reformulation, Estimating a Convex Function in Nonparametric Regression, Shape-restricted inference for Lorenz curves using duality theory, State price density estimation via nonparametric mixtures, Estimation and Calibration of Lévy Models via Fourier Methods, Option valuation under no-arbitrage constraints with neural networks, Business failure prediction using decision trees, On implied volatility for options -- some reasons to smile and more to correct, Convex analysis in the semiparametric model with Bernstein polynomials, NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES, Sieve estimation of option-implied state price density, Nonparametric filtering of conditional state-price densities, Fast algorithm for nonparametric arbitrage-free SPD estimation, Arbitrage-free smoothing of the implied volatility surface, Shape-preserving interpolation and smoothing for options market implied volatility, Interest Rate Derivatives Pricing with Volatility Smile, Detecting and Repairing Arbitrage in Traded Option Prices, Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines, Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints, Imposing and Testing for Shape Restrictions in Flexible Parametric Models, Measuring expectations in options markets: an application to the S&P500 index

Uses Software

KernSmooth

Cites Work