Shape constrained regression in Sobolev spaces with application to option pricing

DOI10.1007/978-3-319-51313-3_7MaRDI QIDQ5283084zbMATHOpenAlexFDO

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

zbMATH Keywords

monotonicityconstrained regressionSobolev spacescovariance structureoption priceisotonic constraints

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1306459 (Why is no real title available?)
• scientific article; zbMATH DE number 3390139 (Why is no real title available?)
• Application of Extended Kalman Filter to SPD Estimation
• Do option markets correctly price the probabilities of movement of the underlying asset?
• Dynamics of state price densities
• Estimating a regression function
• Inequality-Constrained Multivariate Smoothing Splines with Application to the Estimation of Posterior Probabilities
• Linear Statistical Inference and its Applications
• Nonparametric risk management and implied risk aversion
• Nonparametric state price density estimation using constrained least squares and the bootstrap

Cited in

(3)

• Instrumental variable regression with variable constraint and its applications in option pricing and portfolio
• Constrained option pricing with neural networks and isotonic regression
• Efficient estimation in single index models through smoothing splines

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