An application of nonparametric volatility estimators to option pricing
Romuald N. Kenmoe; Simona Sanfelici
| Year of publication: |
2014
|
|---|---|
| Authors: | Kenmoe, Romuald N. ; Sanfelici, Simona |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 37.2014, 2, p. 393-412
|
| Subject: | Nonparametric volatility estimation | Option pricing | High frequency data | Fokker-Planck equation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412432