Conditional Beta Pricing Models: A Nonparametric Approach
نویسندگان
چکیده
منابع مشابه
A Nonparametric Approach to Derivative Asset Pricing
In this research we examine a new method for pricing European call options based on a nonparametric estimate of the probability density of the underlying asset’s returns. Such an approach allows the use of asymmetric and leptokurtic distributions. We estimate the density using a kernel estimation technique applied to random samples drawn from three particular underlying distributions: the Gauss...
متن کاملA Nonparametric Approach to Multiproduct Pricing
Developed by General Motors (GM), the Auto Choice Advisor web site (http://www.auto choiceadvisor.com) recommends vehicles to consumers based on their requirements and budget constraints. Through the web site, GM has access to large quantities of data that reflect consumer preferences. Motivated by the availability of such data, we formulate a non-parametric approach to multi-product pricing. W...
متن کاملA Nonparametric Maximum Likelihood Estimation of Conditional Moment Restriction Models
This paper studies estimation of a conditional moment restriction model using the nonparametric maximum likelihood approach proposed by Gallant and Nychka (1987). Under some sufficient conditions, we show that the estimator of some finite dimensional parameters is asymptotically normally distributed and attains the semiparametric efficiency bound and that the estimator of the density function i...
متن کاملConditional nonparametric frontier models for convex and non convex technologies: A unifying approach
The explanation of productivity differentials is very important to identify the economic conditions that create inefficiency and to improve managerial performance. In literature two main approaches have been developed: one-stage approaches and twostage approaches. Daraio and Simar (2003) propose a full nonparametric methodology based on conditional FDH and conditional order-m frontiers without ...
متن کاملNonparametric efficiency analysis: A multivariate conditional quantile approach
This paper focuses on nonparametric efficiency analysis based on robust estimation of partial frontiers in a complete multivariate setup (multiple inputs and multiple outputs). It introduces a-quantile efficiency scores. A nonparametric estimator is proposed achieving strong consistency and asymptotic normality. Then if a increases to one as a function of the sample size we recover the properti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1838375