Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
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Publication:2343744
DOI10.1016/j.jeconom.2014.09.003zbMath1331.91205OpenAlexW3124792594MaRDI QIDQ2343744
Lin-Yee Hin, Matthias R. Fengler
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.003
B-splinessemi-nonparametric estimationstate-price densityno-arbitrage constraintsshape-constrained regressionoption pricing function
Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (13)
Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints ⋮ The pricing kernel puzzle: survey and outlook ⋮ Arbitrage-free interpolation of call option prices ⋮ Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Novel computational technique for the direct estimation of risk-neutral density using call price data quotes ⋮ Implied volatility smoothing at COVID-19 times ⋮ A two-step framework for arbitrage-free prediction of the implied volatility surface ⋮ Option valuation under no-arbitrage constraints with neural networks ⋮ Implied volatility and state price density estimation: arbitrage analysis ⋮ Nonparametric filtering of conditional state-price densities ⋮ Detecting and Repairing Arbitrage in Traded Option Prices ⋮ Functional Ross recovery: theoretical results and empirical tests
Uses Software
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