Valuation of an option using non-parametric methods

DOI10.1007/S11147-018-09153-6zbMath1425.91397OpenAlexW2912257150WikidataQ128543838 ScholiaQ128543838MaRDI QIDQ2328782

Ming Shann Tsai, Shu Ling Chiang

Publication date: 16 October 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-09153-6

zbMATH Keywords

optionnonparametric statisticshistorical simulation methodvaluation model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Empirical properties of asset returns: stylized facts and statistical issues
• Some recent developments in stochastic volatility modelling
• Stochastic Volatility for Lévy Processes
• Option pricing when underlying stock returns are discontinuous

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