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Test of recent advances in extracting information from option prices
Healy, J. V.; Gregoriou, Andros; Hudson, Robert - In: International review of financial analysis 56 (2018), pp. 292-302
Persistent link: https://www.econbiz.de/10012006295
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Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
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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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Estimating the tail shape parameter from option prices
Hamidieh, Kam - In: Journal of risk 19 (2017) 6, pp. 85-110
Persistent link: https://www.econbiz.de/10011799166
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The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
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Risk neutral density estimation with a functional linear model
Carrasco, Marine; Tsafack, Idriss - In: Essays in honor of Joon Y. Park : econometric …, (pp. 133-157). 2023
Persistent link: https://www.econbiz.de/10014315199
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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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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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Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints
Monteiro, Ana M.; Santos, Antonio A. F. - In: Review of derivatives research 23 (2020) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10012229782