Nonparametric Estimates of Option Prices Using Superhedging

We propose a new nonparametric 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.

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Year of publication:	2015-02
Authors:	Cassese, Gianluca
Institutions:	Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS), Facoltà di Economia
Subject:	Bid/Ask spreads \| Implied risk-neutral measure \| Nonparametric regression

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 293 3 pages long
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011168704