Shape Constrained Regression in Sobolev Spaces with Application to Option Pricing

DOI10.1007/978-3-319-51313-3_7zbMath1366.62085OpenAlexW2581052949MaRDI QIDQ5283084

Zdeněk Hlávka, Michal Pešta

Publication date: 18 July 2017

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-51313-3_7

zbMATH Keywords

monotonicitySobolev spacesoption pricecovariance structureconstrained regressionisotonic constraints

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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