Non-parametric and semi-parametric asset pricing
نویسندگان
چکیده
منابع مشابه
Non-parametric option pricing models
The goal of non-parametric option pricing models is to price and risk mange financial derivatives in a model-free approach. Standard option pricing models need to assume a certain dynamics for the underlying. Model parameters are calibrated (or bootstrapped) to match certain conditions. These can be an exact fit to some market instruments whenever possible, a best fit otherwise, or some risk mi...
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ژورنال
عنوان ژورنال: Economic Modelling
سال: 2011
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2010.12.008