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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
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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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An entropy-based approach for nonparametrically testing simple probability distribution hypotheses
Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be … alternative test statistics, the proposed entropy test is free from user-specified kernel and bandwidth choices, idiosyncratic and …
Persistent link: https://www.econbiz.de/10012805047
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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State price densities implied from weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-Wen - In: Insurance / Mathematics & economics 64 (2015), pp. 106-125
Persistent link: https://www.econbiz.de/10011397955
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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10009615659
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Estimating state-price densities from derivative prices : parametric and nonparametric methods
Guidolin, Massimo - 1999
Persistent link: https://www.econbiz.de/10001446623
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It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling
Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19
It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...
Persistent link: https://www.econbiz.de/10012704022