A nonparametric kernel regression approach for pricing options on stock market index
James J. Kung
| Year of publication: |
February-March 2016
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| Authors: | Kung, James J. |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 10/12, p. 902-913
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| Subject: | Geometric Brownian motion | stock index option | nonparametric kernel regression | Nadaraya–Watson kernel estimator | Black–Scholes model | Stein–Stein model | Nichtparametrisches Verfahren | Nonparametric statistics | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Index-Futures | Index futures | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1090549 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011432797