Nonparametric Statistical Methods and the Pricing of Derivative Securities |
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Authors: | Rudiger Kiesel |
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Institution: |
a Department of Statistics, London School of Economics and Political Science. |
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Abstract: | In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an internally consistent model. |
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