Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

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Authors:	Hlávka, Zdeněk ; Pešta, Michal
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Kovarianz <Stochastik> \| covariance structure \| Regressionsanalyse

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Extent:	796672 bytes 50 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers Discussion Paper ; 2006-006
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C20 - Econometric Methods: Single Equation Models. General ; C88 - Other Computer Software ; G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854964