Work

Nonparametric Estimates of Option Prices and Related Quantities

Year: 2019

Type: article

Abstract: We propose a new nonparametric technique to estimate the call function based on the superhedging principle. This approach requires minimal assumptions on absence of arbitrage and other market imperfections. The estimates so obtained are then combined with SNP estimates of the actual density of market returns. This permits to investigate the time behavior of the relative distance between the two densities obtained. Our empirical findings suggest that the more the two densities differ, the shorter is time to maturity, suggesting a major role of uncertainty over shorter than longer horizons.

Source: International Journal of Theoretical and Applied Finance

DOI: 10.1142/s0219024919500407

Author: GIANLUCA CASSESE

Institution: University of Milano-Bicocca

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2021618138

FWCI:

Cites: 37

Cited by: 1

Related to: 10