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Non Parametric Estimates of Option Prices Using Superhedging

We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As an application we first test the methodology on a simulated sample of option prices and then on the S\&P 500 index options.
Year of publication:
2015-02
Authors: Cassese, Gianluca
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011168855
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