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
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.
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