Nonparametric option pricing with generalized entropic estimators
Year of publication: |
2023
|
---|---|
Authors: | Almeida, Caio ; Freire, Gustavo ; Azevedo, Rafael ; Ardison, Kym |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 4, p. 1173-1187
|
Subject: | Cressie-Read discrepancies | Generalized entropy | Nonparametric estimation | Option pricing | Risk-neutral measure | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory | Entropie | Entropy | Schätztheorie | Estimation theory |
-
Monteiro, Ana M., (2022)
-
Nonparametric estimation of risk-neutral distribution via the empirical Esscher transform
Pereira, Manoel, (2017)
-
Nonparametric option pricing under Beta-t-GARCH process with dynamic conditional score
Pereira, Manoel F. de S., (2023)
- More ...
-
An Anatomy of Generalized Entropic Estimators in Option Pricing
Almeida, Caio, (2019)
-
Pricing of Index Options in Incomplete Markets
Almeida, Caio, (2021)
-
Tail Risk and Asset Prices in the Short-term
Almeida, Caio, (2022)
- More ...