A Semiparametric Estimation of Liquidity Effects on Option Pricing
Year of publication: |
1999-09
|
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Authors: | García, Ferreira ; Eva, María ; Gago, Mónica ; Rubio Irigoyen, Gonzalo |
Institutions: | Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales |
Subject: | multivariate kernel regression | bandwidth selection | symmetrized nearest neighbors | volatility smile | option pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Biltoki 1999.08 Number 1999-08 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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