This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

This paper studies a classical extension of the Black and Scholes model for option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties.

In this paper, we study the problem of non parametric estimation of the spectral density f of a stationary Gaussian sequence. For this purpose, we consider a collection of finite dimensional linear spaces (e.g. linear space spanned by wavelets or piecewise polynomials on possibly irregular grids...

In this paper the authors study the problem of non parametric estimation of an unknown regression function from dependent data with sub-Gaussian errors. As a particular case, they handle the autoregressive framework.

An important class of structural econometric models (nonlinear rational expectations,option pricing, auction models,...) characterize observable variables as highly nonlinear transformations of some latent variables. These transformations are one-to-one but they depend on the unknown...

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...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

The focus of the paper is the nonparametric estimation of an instrumental regression function * defined by conditional moment restrictions stemming from a structural econometric model: E[Y- *(Z) | W]=0, and involving endogeneous variables Y and Z and instruments W.