Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Matthias R. Fengler; Lin-Yee Hin
| 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 | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Arbitrage Pricing | Arbitrage pricing | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011339347