Nonparametric methods and option pricing

Abstract

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which incolves very little financial theory. Next we discuss nonparametric and semi-parametric methods of option pricing and illustrate the different approaches. Nous survolons la littérature de l'estimation non-paramétrique de modèles de titres dérivés. En particulier, nous analysons des options sur actions en partant d'une approche qui n'impose pas de restrictions théoriques, telles des restrictions d'arbitrage, et qui est donc purement statistique. Par la suite nous présentons des méthodes qui prennent avantage des restrictions a priori fournies par la théorie.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 19 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.