Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (Q2343744): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: COBS / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: FITPACK / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.003 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3124792594 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic integrated mean square error using least squares and bias minimizing splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric option pricing under shape restrictions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric risk management and implied risk aversion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On extracting information implied in options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of risk-neutral densities using positive convolution approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamics of implied volatility surfaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Numerical Evaluation of <i>B</i>-Splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: On calculating with B-splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: A practical guide to splines. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4524032 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An algorithm for cubic spline fitting with convexity constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3135817 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Design-adaptive Nonparametric Regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local linear regression smoothers and their minimax efficiencies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing With Model-Guided Nonparametric Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage-free smoothing of the implied volatility surface / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tensor-product monotonicity preservation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Flexible Parsimonious Smoothing and Additive Modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Unbiased determination of production technologies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029496 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage-free approximation of call price surfaces and input data risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerically stable dual method for solving strictly convex quadratic programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter / rank
 
Normal rank
Property / cites work
 
Property / cites work: A canonical process for estimation of convex functions: the ``invelope'' of integrated Brownian motion \(+t^ 4\). / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of a convex function: Characterizations and asymptotic theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Use of the L-Curve in the Regularization of Discrete Ill-Posed Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency in concave regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamics of state price densities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3998409 / rank
 
Normal rank
Property / cites work
 
Property / cites work: COBS: qualitatively constrained smoothing via linear programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bivariate tensor-product \(B\)-splines in a partly linear model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotone B-Spline Smoothing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point Estimates of Ordinates of Concave Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotics for polynomial spline regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4279655 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gram-Charlier densities. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3428623 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating a smooth monotone regression function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric regression under qualitative smoothness assumptions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general projection framework for constrained smoothing. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smoothing Splines and Shape Restrictions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference using shape-restricted regression splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates and asymptotic normality for series estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bézier and B-spline techniques / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3592409 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4887672 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spline smoothing: The equivalent variable kernel method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal global rates of convergence for nonparametric regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: The use of polynomial splines and their tensor products in multivariate function estimation. (With discussion) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inequality-Constrained Multivariate Smoothing Splines with Application to the Estimation of Posterior Probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Practical Approximate Solutions to Linear Operator Equations When the Data are Noisy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996207 / rank
 
Normal rank
Property / cites work
 
Property / cites work: No-arbitrage interpolation of the option price function and its reformulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic behavior of monotone regression estimates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric state price density estimation using constrained least squares and the bootstrap / rank
 
Normal rank
Property / cites work
 
Property / cites work: State price density estimation via nonparametric mixtures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spatially Adaptive Regression Splines and Accurate Knot Selection Schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotics for regression splines and confidence regions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4947005 / rank
 
Normal rank

Latest revision as of 01:56, 10 July 2024

scientific article
Language Label Description Also known as
English
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
scientific article

    Statements

    Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (English)
    0 references
    0 references
    0 references
    6 May 2015
    0 references
    B-splines
    0 references
    no-arbitrage constraints
    0 references
    option pricing function
    0 references
    semi-nonparametric estimation
    0 references
    shape-constrained regression
    0 references
    state-price density
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references