Nonparametric estimates of option prices via Hermite basis functions

DOI10.1007/S10436-023-00431-4zbMath1530.91571arXiv2209.09656OpenAlexW4385576897MaRDI QIDQ6146135

Carlo Marinelli, Stefano d'Addona

Publication date: 10 January 2024

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.09656

zbMATH Keywords

option pricingHermite polynomialsimplied volatilitynonparametric models

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Hermite polynomial based expansion of European option prices
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Gaussian Hilbert Spaces
• PRICING DERIVATIVES IN HERMITE MARKETS
• Mean Convergence of Expansions in Laguerre and Hermite Series
• The incomplete gamma functions
• Mean Convergence of Hermite and Laguerre Series. I
• Series approximation methods in statistics.
• Stochastic finance. An introduction in discrete time

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