Nonparametric estimates of option prices and related quantities

DOI10.1142/S0219024919500407MaRDI QIDQ5207495zbMATH OpenFDO

Authors Gianluca Cassese

Publication date 2 January 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.03978

zbMATH Keywords

bandwidthbid/ask spreadsimplied risk-neutral measureMonte Carlononparametric regressionrisk aversion

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As an application we first test the methodology on a simulated sample of option prices and then on the S&P 500 index options.

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Cites work

• All of Nonparametric Statistics
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• scientific article; zbMATH DE number 6927781 (Why is no real title available?)
• Nonparametric option pricing under shape restrictions
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Option pricing with model-guided nonparametric methods
• Semi-Nonparametric Maximum Likelihood Estimation
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Smoothing Splines and Shape Restrictions

Cited in

(18)

• Nonparametric option pricing under shape restrictions
• Nonparametric estimation of American options' exercise boundaries and call prices
• Noncommutative valuation of options
• A non-parametric approach to pricing and hedging derivative securities: With an application to LIFFE data
• Nonparametric jump variation measures from options
• Semi-nonparametric approximation and index options
• Nonparametric filtering of conditional state-price densities
• Valuation of an option using non-parametric methods
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Option pricing with model-guided nonparametric methods
• Nonparametric estimation of risk-neutral densities
• scientific article; zbMATH DE number 1124633 (Why is no real title available?)
• A theory of non‐Gaussian option pricing
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Nonparametric estimates of option prices via Hermite basis functions
• Nonparametric estimation of fractional option pricing model
• State price density estimation via nonparametric mixtures

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