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Nonparametric statistical methods and the pricing of derivative securities

机译:非参数统计方法和衍生证券的定价

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In this review paper we summarise several nonparametric methods recentlyapplied to the pricing of financial options. After a short introduction to martingale-basedoption pricing theory, we focus on two possible fields of application for nonparametricmethods: the estimation of risk-neutral probabilities and the estimation of the dynamicsof the underlying instruments in order to construct an internally consistent model.
机译:在这篇综述文章中,我们总结了最近应用于金融期权定价的几种非参数方法。在简短介绍了基于mar的期权定价理论之后,我们将重点放在非参数方法的两个可能的应用领域:风险中性概率的估计和底层工具的动态的估计,以构建内部一致的模型。

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