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.

MoreLess

Year of publication:	2006-09
Authors:	Hlavka, Zdenek ; Pesta, Michal
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	isotonic regression \| Sobolev spaces \| monotonicity \| multiple observations \| covariance structure \| option price

More details

Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2006-069 50 pages
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:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005652754