Ghysels, E.; Patilea, V.; Renault, E.; Torres, O. - Center for Operations Research and Econometrics (CORE), … - 1997
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...