FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2078220623> ?p ?o ?g. }

• W2078220623 endingPage "2075" @default.
• W2078220623 startingPage "2058" @default.
• W2078220623 abstract "In this paper, we investigate the methodological issue of determining the number of state variables required for options pricing. After showing the inadequacy of the principal component analysis approach, which is commonly used in the literature, we adopt a nonparametric regression technique with nonlinear principal components extracted from the implied volatilities of various moneyness and maturities as proxies for the transformed state variables. The methodology is applied to the prices of S&P 500 index options from the period 1996–2005. We find that, in addition to the index value itself, two state variables, approximated by the first two nonlinear principal components, are adequate for pricing the index options and fitting the data in both time series and cross sections." @default.
• W2078220623 created "2016-06-24" @default.
• W2078220623 creator A5014848328 @default.
• W2078220623 creator A5043519387 @default.
• W2078220623 date "2010-11-01" @default.
• W2078220623 modified "2023-10-16" @default.
• W2078220623 title "On the Number of State Variables in Options Pricing" @default.
• W2078220623 cites W1525826300 @default.
• W2078220623 cites W1966256642 @default.
• W2078220623 cites W1975600269 @default.
• W2078220623 cites W2017297397 @default.
• W2078220623 cites W2021264188 @default.
• W2078220623 cites W2025006397 @default.
• W2078220623 cites W2027501710 @default.
• W2078220623 cites W2034241492 @default.
• W2078220623 cites W2053190242 @default.
• W2078220623 cites W2064978316 @default.
• W2078220623 cites W2077791698 @default.
• W2078220623 cites W2083685602 @default.
• W2078220623 cites W2094206697 @default.
• W2078220623 cites W2108876572 @default.
• W2078220623 cites W2109858684 @default.
• W2078220623 cites W2118091795 @default.
• W2078220623 cites W2129220488 @default.
• W2078220623 cites W2138349601 @default.
• W2078220623 cites W2145541966 @default.
• W2078220623 cites W2148080284 @default.
• W2078220623 cites W2148654450 @default.
• W2078220623 cites W2151447307 @default.
• W2078220623 cites W2157858527 @default.
• W2078220623 cites W2159879678 @default.
• W2078220623 cites W2163191305 @default.
• W2078220623 cites W2164380597 @default.
• W2078220623 cites W2166536772 @default.
• W2078220623 cites W2179356764 @default.
• W2078220623 cites W3122434727 @default.
• W2078220623 cites W3122839901 @default.
• W2078220623 cites W3123321876 @default.
• W2078220623 cites W3123332101 @default.
• W2078220623 cites W3123686478 @default.
• W2078220623 cites W3124264635 @default.
• W2078220623 cites W3124565417 @default.
• W2078220623 cites W3124973140 @default.
• W2078220623 doi "https://doi.org/10.1287/mnsc.1100.1222" @default.
• W2078220623 hasPublicationYear "2010" @default.
• W2078220623 type Work @default.
• W2078220623 sameAs 2078220623 @default.
• W2078220623 citedByCount "29" @default.
• W2078220623 countsByYear W20782206232012 @default.
• W2078220623 countsByYear W20782206232013 @default.
• W2078220623 countsByYear W20782206232014 @default.
• W2078220623 countsByYear W20782206232015 @default.
• W2078220623 countsByYear W20782206232016 @default.
• W2078220623 countsByYear W20782206232018 @default.
• W2078220623 countsByYear W20782206232019 @default.
• W2078220623 countsByYear W20782206232020 @default.
• W2078220623 countsByYear W20782206232021 @default.
• W2078220623 countsByYear W20782206232023 @default.
• W2078220623 crossrefType "journal-article" @default.
• W2078220623 hasAuthorship W2078220623A5014848328 @default.
• W2078220623 hasAuthorship W2078220623A5043519387 @default.
• W2078220623 hasConcept C102366305 @default.
• W2078220623 hasConcept C105795698 @default.
• W2078220623 hasConcept C11413529 @default.
• W2078220623 hasConcept C121332964 @default.
• W2078220623 hasConcept C129537906 @default.
• W2078220623 hasConcept C136764020 @default.
• W2078220623 hasConcept C149782125 @default.
• W2078220623 hasConcept C158622935 @default.
• W2078220623 hasConcept C162324750 @default.
• W2078220623 hasConcept C173921975 @default.
• W2078220623 hasConcept C194483076 @default.
• W2078220623 hasConcept C27438332 @default.
• W2078220623 hasConcept C2776291640 @default.
• W2078220623 hasConcept C2777382242 @default.
• W2078220623 hasConcept C33923547 @default.
• W2078220623 hasConcept C41008148 @default.
• W2078220623 hasConcept C48103436 @default.
• W2078220623 hasConcept C62520636 @default.
• W2078220623 hasConcept C97355855 @default.
• W2078220623 hasConceptScore W2078220623C102366305 @default.
• W2078220623 hasConceptScore W2078220623C105795698 @default.
• W2078220623 hasConceptScore W2078220623C11413529 @default.
• W2078220623 hasConceptScore W2078220623C121332964 @default.
• W2078220623 hasConceptScore W2078220623C129537906 @default.
• W2078220623 hasConceptScore W2078220623C136764020 @default.
• W2078220623 hasConceptScore W2078220623C149782125 @default.
• W2078220623 hasConceptScore W2078220623C158622935 @default.
• W2078220623 hasConceptScore W2078220623C162324750 @default.
• W2078220623 hasConceptScore W2078220623C173921975 @default.
• W2078220623 hasConceptScore W2078220623C194483076 @default.
• W2078220623 hasConceptScore W2078220623C27438332 @default.
• W2078220623 hasConceptScore W2078220623C2776291640 @default.
• W2078220623 hasConceptScore W2078220623C2777382242 @default.
• W2078220623 hasConceptScore W2078220623C33923547 @default.
• W2078220623 hasConceptScore W2078220623C41008148 @default.
• W2078220623 hasConceptScore W2078220623C48103436 @default.
• W2078220623 hasConceptScore W2078220623C62520636 @default.

• next