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Nonparametric methods and option pricing

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
2005Theory of rational option pricing7,176 cited
1994Implied Binomial Trees1,749 cited
19965 Stochastic volatility1,189 cited
1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
2002Nonparametric estimation of state-price densities implicit in financial asset prices153 cited
1992Dividends and S&P 100 index option valuation116 cited
2000Nonparametric estimation of American options’ exercise boundaries and call prices57 cited
1997Local parametric analysis of hedging in discrete time30 cited
1998Risk Aversion, Intertemporal Substitution, and Option Pricing25 cited
1996Foreign Exchange Rates Have Surprising Volatility24 cited

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2005Pricing currency options in the presence of time-varying volatility and non-normalities17 cited

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