Nonparametric statistical methods and the pricing of derivative securities. Issue 1 (2002)

• Record Type: Journal Article
• Authors: Kiesel, Rüdiger
• Is Part Of: Journal of applied mathematics & decision sciences. Volume 6:Issue 1(2002)
• Page Start: 1
• Page End: 22
• Publication Date: 2002
• Subjects: Operations research -- Periodicals; Mathematical models -- Periodicals; Statistics -- Periodicals; Quality control -- Periodicals; Mathematical models; Operations research; Quality control; Statistics; Periodicals; 519.05
• DOI: 10.1155/S1173912602000019
• Languages: English
• ISSNs: 1173-9126

Abstract

Abstract : In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an internally consistent model.