Nonparametric option pricing with no-arbitrage constraints

dc.contributor.authorBirke, Melanie
dc.contributor.authorPilz, Kay F.
dc.date.accessioned2007-10-25T11:59:31Z
dc.date.available2007-10-25T11:59:31Z
dc.date.issued2007-10-25T11:59:31Z
dc.description.abstractWe propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and Litzenberger (1978) without necessarily estimating the state price density for an underlying asset price from its option prices. It can be shown that the estimator is pointwise consistent and asymptot- ically normal. In a simulation study we compare the new estimator to the unconstrained kernel estimator and to the estimator given in Aıt-Sahalia and Duarte (2003).en
dc.identifier.urihttp://hdl.handle.net/2003/24797
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14485
dc.language.isoende
dc.subjectCall pricing functionen
dc.subjectConstrained nonparametric estimationen
dc.subjectMonotone rearrangementsen
dc.subjectState price densityen
dc.subject.ddc004
dc.titleNonparametric option pricing with no-arbitrage constraintsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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