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An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
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Nonparametric estimates of pricing functionals
Marinelli, Carlo; D'Addona, Stefano - In: Journal of empirical finance 44 (2017), pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
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Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
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Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10010462645
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Nonparametric Estimates of Option Prices Using Superhedging
Cassese, Gianluca - 2015
We propose a new nonparametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As...
Persistent link: https://www.econbiz.de/10013028006
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A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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Option data and modeling BSM implied volatility
Fengler, Matthias R. - 2010
Persistent link: https://www.econbiz.de/10009240320
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Non Parametric Calibration of the Local Volatility Surface for European Options Using a Second Order Tikhonov Regularization
Geng, Jian - 2013
We calibrate the local volatility surface for European options across all strikes and maturities of the same underlying …. There is no interpolation or extrapolation of either the option prices or the volatility surface. We do not make any … assumption regarding the shape of the volatility surface except to assume that it is smooth. Due to the smoothness assumption, we …
Persistent link: https://www.econbiz.de/10013087129
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Option Data and Modeling BSM Implied Volatility
Fengler, Matthias R. - 2013
volatility data. After introducing the concept of Black-Scholes-Merton implied volatility (IV), the empirical stylized facts of …
Persistent link: https://www.econbiz.de/10013092465
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899