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Option pricing with model-guided nonparametric methods
Jianqing Fan
, Loriano Mancini
Operations Research & Financial Engineering
Bendheim Center for Finance
Center for Statistics & Machine Learning
Economics
Research output
:
Contribution to journal
›
Article
›
peer-review
21
Scopus citations
Overview
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Dive into the research topics of 'Option pricing with model-guided nonparametric methods'. Together they form a unique fingerprint.
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Business & Economics
Nonparametric Methods
100%
Option Pricing
86%
Pricing Errors
67%
Price Distribution
64%
Parametric Model
40%
Nonparametric Test
30%
State Price Density
26%
Likelihood Ratio
26%
Derivative Pricing
22%
Pricing
22%
Index Options
20%
Option Pricing Model
20%
Predictive Ability
19%
Price Dynamics
18%
Finance
16%
Asset Prices
16%
Efficacy
15%
Hedging
15%
Empirical Study
10%
Assets
9%
Performance
6%
Mathematics
Nonparametric Methods
96%
Pricing
92%
Model
27%
Parametric Model
25%
Hedging
15%
Non-parametric test
13%
Empirical Study
13%
Likelihood Ratio
12%
Efficacy
12%
Finance
12%
Estimate
11%
Learning
10%
Model-based
10%
Error Estimates
9%
Derivative
7%
Performance
7%