Nonparametric option pricing under shape restrictions

By Yacine Aït-Sahalia, J. Duarte. 2003

351 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ca4d85eb72fcd6847190e773219f7770f0249cd7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Arbitrage-free smoothing of the implied volatility surface (2009, methodology): “The approach we pursue is similar in spirit with the nonparametric literature on estimating the risk neutral transition density such as Aı̈t-Sahalia and Duarte (2003), Härdle and Yatchew (2003), and Härdle and Hlávka (2004) that could in principle be exploited in a similar manner. These techniques, ”
Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, neutral): “…(1998), Ghysels, Patilea, Renault and Torrès (1997), Melick and Thomas (1997), Ait-Sahalia and Lo (1998), Bakshi and Madan (2000), Jondeau and Rockinger (2000), Campbell and Li (2002), Cont and da Fonseca (2002), Duan (2002), Ait-Sahalia and Duarte (2003), Carr and Wu (2003), Huang and Wu (2004)].”
Do option markets correctly price the probabilities of movement of the underlying asset (2001, background): “See also AmK t-Sahalia and Duarte (1999) for a local polynomial-based estimator that incorporates shape restrictions (such as the monotonicity and convexity of the price function). of option characteristics or &explanatory' variables, Z,[F ,X, , r ] , and use kernel regression to construct a…”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, positive): “The constrained nonparametric estimation follows the method developed by Äıt-Sahalia and Duarte (2003), which is composed of an isotonic regression followed by a linear-kernel regression.”
Generalized additive and index models with shape constraints (2014, background): “In finance, theory restricts call option prices to be convex and decreasing functions of the strike price (Aı̈t-Sahalia and Duarte, 2003); in stochastic control, value functions are often assumed to be convex (Keshavarz et al., 2011).”
QUANTILE AND PROBABILITY CURVES WITHOUT CROSSING (2007, methodology): “1) in `∞([0, 1]), and √ n ( F̂ (y)− F (y) ) ⇒ G (y) (3.”
The Puzzle of Index Option Returns (2013, background): “Ait-Sahalia and Duarte (2003) estimated the implied risk neutral distribution from a sample of simultaneouslyexpiring European index option prices while constraining the option pricing function to be monotonic and convex.”