NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES

DOI10.1142/S0219024919500407zbMath1445.91063arXiv1502.03978MaRDI QIDQ5207495

Gianluca Cassese

Publication date: 2 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03978

zbMATH Keywords

Monte Carlobandwidthnonparametric regressionrisk aversionbid/ask spreadsimplied risk-neutral measure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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