Option pricing with model-guided nonparametric methods

Keyphrases

• Option Pricing 100%
• Nonparametric Methods 100%
• Price Distribution 100%
• Pricing Errors 100%
• State Prices 100%
• Model-guided 100%
• Parametric Model 66%
• Error Correction 66%
• Automatic Correction 66%
• Easy-to-implement 33%
• Error Estimates 33%
• Generalized Likelihood Ratio Test 33%
• Systematic Bias 33%
• Asset Price Dynamics 33%
• Learning Approaches 33%
• Predictive Ability 33%
• Nonparametric Test 33%
• State Price Density 33%
• Nonparametric Learning 33%
• Pricing Model 33%
• Pricing Formulae 33%
• Hedging Ability 33%
• Option Pricing Model 33%
• Derivative Financial Instruments 33%
• Pricing Performance 33%
• Parametric Option Pricing 33%
• Pricing Derivatives 33%
• S&P 500 Index Options 33%

Mathematics

• Parametric 100%
• Option Pricing 100%
• Nonparametric Method 100%
• Parametric Model 66%
• Initial Estimate 33%
• Error Estimate 33%
• Generalized Likelihood Ratio 33%
• Parametric Test 33%
• Asset Price 33%
• Method Error 33%

Economics, Econometrics and Finance

• Derivative Pricing 25%