Semi-nonparametric approximation and index options
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Recommendations
- Spanning with indexes
- Nonparametric statistical methods and the pricing of derivative securities
- Semi-parametric estimation of American option prices
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
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Cites work
- An introduction to frames and Riesz bases
- Approximation and learning by greedy algorithms
- Approximation by superpositions of a sigmoidal function
- Efficient derivative pricing by the extended method of moments
- Efficient funds for meager asset spaces
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- On American VIX options under the generalized 3/2 and 1/2 models
- On Nonlinear Functions of Linear Combinations
- Options and Efficiency
- Options and efficiency in spaces of bounded claims
- Rates of convex approximation in non-Hilbert spaces
- Spanning with indexes
- Static hedging and pricing of exotic options with payoff frames
- The second fundamental theorem of asset pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Universal approximation bounds for superpositions of a sigmoidal function
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