Option Pricing With Model-Guided Nonparametric Methods
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Publication:3069872
DOI10.1198/JASA.2009.AP08171zbMath1205.91158OpenAlexW2048024102MaRDI QIDQ3069872
Publication date: 1 February 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.ap08171
nonparametric regressionmodel misspecificationgeneralized likelihood ratio testout-of-sample analysisstate price distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20)
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