Shape constrained regression in Sobolev spaces with application to option pricing
DOI10.1007/978-3-319-51313-3_7zbMATH Open1366.62085OpenAlexW2581052949MaRDI QIDQ5283084FDOQ5283084
Authors: Michal Pešta, Zdeňek Hlávka 
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
Recommendations
- Nonparametric option pricing under shape restrictions
- Constrained option pricing with neural networks and isotonic regression
- Functional estimation under shape constraints
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Smoothing Splines and Shape Restrictions
monotonicityconstrained regressionSobolev spacescovariance structureoption priceisotonic constraints
Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Linear Statistical Inference and its Applications
- Title not available (Why is that?)
- Inequality-Constrained Multivariate Smoothing Splines with Application to the Estimation of Posterior Probabilities
- Nonparametric risk management and implied risk aversion
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Dynamics of state price densities
- Application of Extended Kalman Filter to SPD Estimation
- Estimating a regression function
- Title not available (Why is that?)
Cited In (3)
This page was built for publication: Shape constrained regression in Sobolev spaces with application to option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5283084)
