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Rüdiger Kiesel, "Nonparametric statistical methods and the pricing of derivative securities", Advances in Decision Sciences, vol. 6, Article ID 935436, 22 pages, 2002. https://doi.org/10.1155/S1173912602000019
Nonparametric statistical methods and the pricing of derivative securities
Abstract
In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an internally consistent model.
Copyright
Copyright © 2002 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
