Robust European Call Option Pricing via Linear Regression
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References listed on IDEAS
- Boyle, Phelim P., 1988. "A Lattice Framework for Option Pricing with Two State Variables," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 1-12, March.
- Takahashi, Hajime & 高橋, 一, 2000. "A Note on Pricing Derivartives in an Incomplete Market," Discussion Papers 2000-05, Graduate School of Economics, Hitotsubashi University.
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Keywords
Asset prices; Trinomial model; European call option pricing; Least squares; Robust linear regression;All these keywords.
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