Nonparametric Methods and Option Pricing

Eric Ghysels (), Valentin Patilea, Eric Renault and Olivier Torrès

CIRANO Working Papers from CIRANO

Abstract: In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which incolves very little financial theory. Next we discuss nonparametric and semi-parametric methods of option pricing and illustrate the different approaches. Nous survolons la littérature de l'estimation non-paramétrique de modèles de titres dérivés. En particulier, nous analysons des options sur actions en partant d'une approche qui n'impose pas de restrictions théoriques, telles des restrictions d'arbitrage, et qui est donc purement statistique. Par la suite nous présentons des méthodes qui prennent avantage des restrictions a priori fournies par la théorie.

Keywords: Derivative securities; kernel estimation; risk neutral densities; Titres dérivés; estimation par la méthode de noyau; densités à risque neutre (search for similar items in EconPapers)
JEL-codes: C14 C51 D52 G13 (search for similar items in EconPapers)
Date: 1997-04-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Working Paper: Nonparametric methods and option pricing (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:97s-19

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