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- Title
Nonparametric Statistical Methods and the Pricing of Derivative Securities.
- Authors
Kiesel, Rudiger
- Abstract
Discusses several nonparametric methods applied to the pricing of financial options. Impact of the introduction of exotic options on the pricing and hedging theory; Concepts of stochastic finance used in the application; Outline on the use of nonparametric methods for estimating risk-neutral probabilities from plain vanilla option prices; Nonparametric estimation of drift and diffusion coefficients in diffusion models of the short rate.
- Subjects
OPTIONS (Finance); PRICING; EXOTIC options (Finance); HEDGING (Finance); RISK management in business
- Publication
Journal of Applied Mathematics & Decision Sciences, 2002, Vol 6, Issue 1, p1
- ISSN
1173-9126
- Publication type
Article
- DOI
10.1155/S1173912602000019