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Nonparametric estimates of option prices and related quantities
Cassese, Gianluca - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10012153325
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Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis; Härdle, Wolfgang; Krymova, Ekaterina - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
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The early exercise premium in American options by using nonparametric regressions
Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011956935
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Electricity prices : a nonparametric approach
Pirino, Davide; Renò, Roberto - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 285-299
Persistent link: https://www.econbiz.de/10008860393
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A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Cirillo, Pasquale; Hüsler, Jürg; Muliere, Pietro - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1223-1240
Persistent link: https://www.econbiz.de/10008906166
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On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
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Mean reversion in the Spanish market prices using fractionally integrated semiparametric techniques
DePeña, Francisco Javier; Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 645-657
Persistent link: https://www.econbiz.de/10001743195
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A fast, stable and accurate numerical method for the black-scholes equation of American options
Ehrhardt, Matthias; Mickens, Ronald Elbert - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 471-501
Persistent link: https://www.econbiz.de/10003759938
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Storage options valuation using multilevel trees and calendar spreads
Manoliu, Mihaela - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 425-464
Persistent link: https://www.econbiz.de/10002108799
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Pricing of the American put under Lévy processes
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 303-335
Persistent link: https://www.econbiz.de/10002111463