Semi-parametric estimation of American option prices
DOI10.1016/J.JECONOM.2012.10.002zbMATH Open1443.62349OpenAlexW2162589184MaRDI QIDQ528168FDOQ528168
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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semiparametric estimationdynamic programmingkernel estimatorAmerican option[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Fr%EF%BF%BD%EF%BF%BDchet+derivative&go=Go Fr��chet derivative]
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 (7)
- American Option Valuation with Particle Filters
- Financial derivative valuation -- A dynamic semiparametric approach
- A data-driven framework for consistent financial valuation and risk measurement
- Nonparametric estimation of American options' exercise boundaries and call prices
- Semiparametric bounds of mean and variance for exotic options
- Title not available (Why is that?)
- Pricing and exercising American options: an asymptotic expansion approach
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