Nonparametric Option Pricing with Generalized Entropic Estimators

DOI10.1080/07350015.2022.2115499OpenAlexW4292616008MaRDI QIDQ6190730

Rafael Valença Azevedo, Unnamed Author, Kym Ardison, Caio Almeida

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Nonparametric_Option_Pricing_with_Generalized_Entropic_Estimators_/20529772

zbMATH Keywords

option pricinggeneralized entropynonparametric estimationrisk-neutral measureCressie-Read discrepancies

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Can a Machine Correct Option Pricing Models?

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