Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008
an estimate of Ct can be obtained by non-parametric
regression. In order to cope with the course of dimensionality, Ait …-Sahalia
and Lo (1998) proposed a semiparametric approach using the Black-Scholes
formula evaluated with a non-parametric estimator …/2MT +T1/4)(ρ+δK) = O(1).
References
Ait-Sahalia, Y., and Lo, A. (1998), “Nonparametric estimation of state-price
densities …