• Media type: E-Book; Report
  • Title: Constrained general regression in pseudo-Sobolev spaces with application to option pricing
  • Contributor: Hlávka, Zdeněk [Author]; Peésta, Michal [Author]
  • imprint: Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2006
  • Language: English
  • Keywords: C20 ; covariance structure ; C14 ; option price ; isotonic regression ; multiple observations ; Sobolev spaces ; monotonicity ; C13 ; C88 ; G13 ; C10
  • Origination:
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  • Description: State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure taking into account the time of the trade and by considering simultaneously both the observed Put and Call option prices.
  • Access State: Open Access