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This paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of the method is given a sequence of local likelihood estimates ("weak"...
Persistent link: https://www.econbiz.de/10005861420
Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...
Persistent link: https://www.econbiz.de/10005854704
Here we develop methods for efficient pricing multidimensional discrete time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal...
Persistent link: https://www.econbiz.de/10010263645
Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal...
Persistent link: https://www.econbiz.de/10005652732
This paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of themethod is given a sequence of local likelihood estimates (``weak´´...
Persistent link: https://www.econbiz.de/10005677991
Here we develop methods for efficient pricing multidimensional discrete time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal...
Persistent link: https://www.econbiz.de/10003375769
This paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of the method is given a sequence of local likelihood estimates ("weak"...
Persistent link: https://www.econbiz.de/10003324466
Persistent link: https://www.econbiz.de/10004943642
Persistent link: https://www.econbiz.de/10009423289
We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...
Persistent link: https://www.econbiz.de/10003828645