Nonparametric option pricing with no-arbitrage constraints

Journal of Financial Econometrics

Volumn 7, Issue 2, 2009, Pages 53-76

  Birke, Melanie ^a   Pilz, Kay F ^b  

^a RUHR UNIVERSITY BOCHUM   (Germany)

^b Sal Oppenheim jr and Cie KGaA ^*

Author keywords

Call pricing function; Constrained nonparametric estimation; Monotone rearrangements; State price density

Indexed keywords

EID: 62849095589     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn016     Document Type: Article

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