Option pricing with model-guided nonparametric methods

DOI10.1198/JASA.2009.AP08171MaRDI QIDQ3069872zbMATH OpenOpenAlexFDO

Authors Loriano Mancini, Jianqing Fan

Publication date 1 February 2011

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jasa.2009.ap08171

zbMATH Keywords

nonparametric regressionmodel misspecificationgeneralized likelihood ratio testout-of-sample analysisstate price distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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