Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
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Citations
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Cited by:
- Gradojevic Nikola, 2016.
"Multi-criteria classification for pricing European options,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 20(2), pages 123-139, April.
- Nikola Gradojevic, 2015. "Multi-criteria Classification for Pricing European Options," Working Paper series 15-13, Rimini Centre for Economic Analysis.
- Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011. "Clustering and Classification in Option Pricing," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 109-128, October.
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Keywords
Option pricing; Nonparametric methods; Feedforward networks; Bayesian regularization; Early stopping; Bagging;JEL classification:
Statistics
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