Name
Abstract | ||
|---|---|---|
In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an internally consistent model. |
Year | DOI | Venue |
|---|---|---|
2002 | 10.1155/S1173912602000019 | JAMDS |
Keywords | Field | DocType |
option pricing,exotic derivatives,term-structure of interest rates.,nonparametric methods,interest rate,consistency model,term structure | Econometrics,Martingale (probability theory),Martingale pricing,Economics,Valuation of options,Nonparametric regression,Finite difference methods for option pricing,Nonparametric statistics,Statistics,Derivative (finance) | Journal |
Volume | Issue | Citations |
6 | 1 | 0 |
PageRank | References | Authors |
0.34 | 3 | 1 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Rüdiger Kiesel | 1 | 0 | 0.34 |