Semi-parametric estimation of American option prices
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Publication:528168
DOI10.1016/j.jeconom.2012.10.002zbMath1443.62349OpenAlexW2162589184MaRDI QIDQ528168
Patrick Gagliardini, Diego Ronchetti
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/28209/files/2011ECO007.pdf
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
A data-driven framework for consistent financial valuation and risk measurement ⋮ Pricing and exercising American options: an asymptotic expansion approach
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