Publication: Option pricing with model-guided nonparametric methods
Option pricing with model-guided nonparametric methods
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Mancini, L., & Fan, J. (2009). Option pricing with model-guided nonparametric methods. Journal of the American Statistical Association, 104(488), 1351–1372. https://doi.org/10.1198/jasa.2009.ap08171
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Parametric option pricing models are widely used in finance. These models capture several features of asset price dynamics; however, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that learn and correct empirically the pricing errors. In this article we propose a new nonparametric method for pricing derivatives assets. Our method relies on the state price distribution instead of the state price density, because the former is easier to estimate nonparametrically tha
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- Mancini, Loriano
- Fan, Jianqing
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Mancini, L., & Fan, J. (2009). Option pricing with model-guided nonparametric methods. Journal of the American Statistical Association, 104(488), 1351–1372. https://doi.org/10.1198/jasa.2009.ap08171
