Nonparametric option pricing under shape restrictions

DOI10.1016/S0304-4076(03)00102-7zbMath1016.62121MaRDI QIDQ1398968

Yacine Aït-Sahalia, Jefferson Duarte

Publication date: 7 August 2003

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

zbMATH Keywords

monotonicity; convexity; kernel; regression; constraints; state price density; local polynomials

Mathematics Subject Classification ID

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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Uses Software

• KernSmooth

Cites Work

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