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Multi-criteria classification for pricing European options
Gradojevic, Nikola - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 123-139
Persistent link: https://www.econbiz.de/10011507441
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Third-order extensions of Lo's semiparametric bound for European call options
Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570
Persistent link: https://www.econbiz.de/10003852612
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Non-parametric method for European option bounds
Lin, Hsuan-chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 38 (2012) 1, pp. 109-129
Persistent link: https://www.econbiz.de/10009507969
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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
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Semi-parametric estimation of American option prices
Gagliardini, Patrick; Ronchetti, Diego - In: Journal of econometrics 173 (2013) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10009719634
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State price density estimation and nonparametric pricing of basket options
Kuang, Yuming; Lai, Tze Leung - In: Journal of mathematical finance 5 (2015) 5, pp. 448-456
Persistent link: https://www.econbiz.de/10011440200
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Bounds for path-dependent options
Brown, Donald J.; Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 11 (2015) 3/4, pp. 433-451
Persistent link: https://www.econbiz.de/10011459441
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A semiparametric estimation of liquidity effects on option pricing
Ferreira, Eva; Gago, Mónica; Rubio, Gonzalo - In: Spanish economic review : SER 5 (2003) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001761022
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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012666975
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A Hausman test for partially linear models with an application to implied volatility surface
Jiang, Yixiao - In: Journal of risk and financial management : JRFM 13 (2020) 11/287, pp. 1-12
This paper develops a test that helps assess whether the term structure of option implied volatility is constant across different levels of moneyness. The test is based on the Hausman principle of comparing two estimators, one that is efficient but not robust to the deviation being tested, and...
Persistent link: https://www.econbiz.de/10012388603