Nonparametric option pricing under shape restrictions
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Publication:1398968
DOI10.1016/S0304-4076(03)00102-7zbMATH Open1016.62121OpenAlexW2151447307MaRDI QIDQ1398968FDOQ1398968
Authors: Yacine Aït-Sahalia, Jefferson Duarte 
Publication date: 7 August 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00102-7
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Cited In (84)
- Estimating a Convex Function in Nonparametric Regression
- Nonparametric estimation of fractional option pricing model
- Shape restricted nonparametric regression with Bernstein polynomials
- On extracting information implied in options
- Nonparametric shape-restricted regression
- Shape constraints in economics and operations research
- A general closed form option pricing formula
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Resampling methods in econometrics
- Nonparametric statistical methods and the pricing of derivative securities
- The pricing kernel puzzle: survey and outlook
- No-arbitrage interpolation of the option price function and its reformulation
- Dynamic functional data analysis with non-parametric state space models
- Pricing European options by numerical replication: quadratic programming with constraints
- Detecting and repairing arbitrage in traded option prices
- SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
- A note on estimating a smooth monotone regression by combining kernel and density estimates
- A new class of Bayesian semi-parametric models with applications to option pricing
- Nonparametric function estimation subject to monotonicity, convexity and other shape constraints
- Dynamics of state price densities
- Option valuation under no-arbitrage constraints with neural networks
- Arbitrage-free interpolation of call option prices
- Wavelet-based option pricing: an empirical study
- Imposing curvature and monotonicity on flexible functional forms: an efficient regional approach
- Fast algorithm for nonparametric arbitrage-free SPD estimation
- An augmented Lagrangian method with constraint generation for shape-constrained convex regression problems
- Bootstrap confidence intervals for large-scale multivariate monotonic regression problems
- A penalized method for multivariate concave least squares with application to productivity analysis
- Sieve estimation of option-implied state price density
- A new representation of the risk-neutral distribution and its applications
- Estimating risk-neutral density with parametric models in interest rate markets
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Estimation and Calibration of Lévy Models via Fourier Methods
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- Estimation of risk-neutral densities using positive convolution approximation
- Shape-preserving interpolation and smoothing for options market implied volatility
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- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
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- State price density estimation via nonparametric mixtures
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Shape constrained risk-neutral density estimation by support vector regression
- Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
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- Semi-parametric estimation of American option prices
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- A neuro-structural framework for bankruptcy prediction
- Interest rate derivatives pricing with volatility smile
- Nonparametric estimates of option prices via Hermite basis functions
- Identifying shifts between two regression curves
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Constrained option pricing with neural networks and isotonic regression
- Non-convex isotonic regression via the Myersonian approach
- Adiabaticity conditions for volatility smile in Black-Scholes pricing model
- Shape-restricted inference for Lorenz curves using duality theory
- Can a Machine Correct Option Pricing Models?
- Nonparametric Option Pricing with Generalized Entropic Estimators
- Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Local polynomial estimation of SPDs with application to VaR models
- Shape constrained regression in Sobolev spaces with application to option pricing
- Imposing and Testing for Shape Restrictions in Flexible Parametric Models
- An alternative circular smoothing method to nonparametric estimation of periodic functions
- Option augmented density forecasts of market returns with monotone pricing kernel
- Semiparametric Efficiency in Convexity Constrained Single-Index Model
- The early exercise premium in American options by using nonparametric regressions
- Asymmetric short-rate model without lower bound
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