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- W3125667024 abstract "We 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 asymptotically normal. In a simulation study we compare the new estimator to the unconstrained kernel estimator and to the estimator given in Ait-Sahalia and Duarte (2003)." @default.
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- W3125667024 date "2007-01-01" @default.
- W3125667024 modified "2023-09-27" @default.
- W3125667024 title "Nonparametric option pricing with no-arbitrage constraints" @default.
- W3125667024 hasPublicationYear "2007" @default.
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