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Option Pricing With Model-Guided Nonparametric Methods

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  • Fan, Jianqing
  • Mancini, Loriano

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jasa.2009.ap08171
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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 104 (2009)
Issue (Month): 488 ()
Pages: 1351-1372

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Handle: RePEc:bes:jnlasa:v:104:i:488:y:2009:p:1351-1372

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Cited by:
  1. Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers SFB649DP2013-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Xu, Zheng, 2013. "Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data," Economics Letters, Elsevier, vol. 120(3), pages 369-373.
  3. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  4. Chen, Song Xi & Xu, Zheng, 2014. "On implied volatility for options—Some reasons to smile and more to correct," Journal of Econometrics, Elsevier, vol. 179(1), pages 1-15.

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