Nonparametric methods and option pricing

Eric Ghysels (aghysels@psu.edu), Valentin Patilea (patilea@stat.ucl.ac.be), Eric Renault and Olivier Torres (torres@univ-lille3.fr)
Additional contact information
Eric Ghysels: Pennsylvania State University and CIRANO
Valentin Patilea: Institut de Statistique, Université catholique de Louvain, Louvain-la-Neuve, Belgium
Olivier Torres: GREMARS, Université de Lille 3

No 1997075, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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 involves very little financial theory. Next we discuss nonparametric and semi-parametric methods of option pricing and illustrate the different approaches.

Date: 1997-10-01
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Nonparametric Methods and Option Pricing (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1997075

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