Semi-parametric estimation of American option prices
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Publication:528168
DOI10.1016/J.JECONOM.2012.10.002zbMATH Open1443.62349OpenAlexW2162589184MaRDI QIDQ528168FDOQ528168
Authors: Patrick Gagliardini, Diego Ronchetti 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/28209/files/2011ECO007.pdf
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Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (11)
- American Option Valuation with Particle Filters
- Financial derivative valuation -- A dynamic semiparametric approach
- A data-driven framework for consistent financial valuation and risk measurement
- A new class of Bayesian semi-parametric models with applications to option pricing
- Nonparametric estimation of American options' exercise boundaries and call prices
- Pricing kernel estimation: a local estimating equation approach
- Semiparametric bounds of mean and variance for exotic options
- Title not available (Why is that?)
- Pricing and exercising American options: an asymptotic expansion approach
- The early exercise premium in American options by using nonparametric regressions
- Semi-nonparametric approximation and index options
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