Nonparametric option pricing with generalized entropic estimators
Caio Almeida, Gustavo Freire, Rafael Azevedo, and Kym Ardison
| Year of publication: |
2023
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|---|---|
| Authors: | Almeida, Caio ; Freire, Gustavo ; Azevedo, Rafael ; Ardison, Kym |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 4, p. 1173-1187
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| Subject: | Cressie-Read discrepancies | Generalized entropy | Nonparametric estimation | Option pricing | Risk-neutral measure | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Schätzung | Estimation | Nichtparametrische Schätzung |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2115499 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448595