Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Year of publication: |
2015
|
---|---|
Authors: | Fengler, Matthias R. ; Hin, Lin-Yee |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 2, p. 242-261
|
Subject: | B-splines | No-arbitrage constraints | Option pricing function | Semi-nonparametric estimation | Shape-constrained regression | State-price density | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Arbitrage Pricing | Arbitrage pricing | Arbeitskampf | Industrial action | Volatilität | Volatility | Arbitrage | Schätzung | Estimation |
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