Fast algorithm for nonparametric arbitrage-free SPD estimation (Q1010575): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.csda.2006.08.006 / rank | |||
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| Property / cites work: Nonparametric option pricing under shape restrictions / rank | |||
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Latest revision as of 11:37, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast algorithm for nonparametric arbitrage-free SPD estimation |
scientific article |
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Fast algorithm for nonparametric arbitrage-free SPD estimation (English)
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6 April 2009
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option pricing
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nonlinear least squares
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constrained estimation
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