Prior work on option pricing falls mostly in two categories: it either relies on strong distributional or economical assumptions, or it tries to mimic the Black-Scholes formula through statistical models, trained to fit today's market price based on information available today. The work...

The non-parametric modelization of the stock options and other derivatives generated an increased interest over the past years. The goal of this paper is to predict the market price of an option from the same information as needed by the Black-Scholes formula. This is a continuation of more...