Local parametric analysis of hedging in discrete time

DOI10.1016/S0304-4076(97)00046-8zbMATH Open0944.62095MaRDI QIDQ1372930FDOQ1372930

Authors: Peter Bossaerts, Pierre Hillion 

Publication date: 26 September 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

Black-Scholes modellocal velocitylocal parametric estimationderivatives analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Consistent nonparametric regression. Discussion
• Local linear regression smoothers and their minimax efficiencies
• Title not available (Why is that?)
• Variable bandwidth and local linear regression smoothers
• Multivariate locally weighted least squares regression
• Local Likelihood Estimation
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Option pricing: A simplified approach
• Local nonlinear least squares: using parametric information in nonparametric regression
• Encompassing and indirect inference
• Robust reconstruction of functions by the local-approximation method
• The Kernel Estimate of a Regression Function in Likelihood-Based Models
• A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL

Cited In (4)

• Derivative pricing based on local utility maximization
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Bayesian analysis of contingent claim model error
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model

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