Nonparametric Methods and Option Pricing.

In this paper, we survey some of the recent nonparapmetric estimation methods which were developed to price derivative contracts. We focus on equity options and staart with a so-called model-free approach which involves very little financial theory. Next we discuss nonparametric and semi-parametric methods of option pricing an illustrate the different approaches.

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Year of publication:	1997
Authors:	Ghysels, E. ; Patilea, V. ; Renault, E. ; Torres, O.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	ECONOMETRICS

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005779515