Constrained general regression in pseudo-Sobolev spaces with application to option pricing

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure taking into account the time of the trade and by considering simultaneously both the observed Put and Call option prices.

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Year of publication:	2006
Authors:	Hlávka, Zdeněk ; Peésta, Michal
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	isotonic regression \| Sobolev spaces \| monotonicity \| multiple observations \| covariance structure \| option price

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Series:	SFB 649 Discussion Paper ; 2006-069
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	518457923 [GVK] hdl:10419/25152 [Handle] RePEc:zbw:sfb649:sfb649dp2006-069 [RePEc]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C20 - Econometric Methods: Single Equation Models. General ; C88 - Other Computer Software ; G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010274279