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Keywords:

  • option pricing;
  • substantive models;
  • nonparametric regression;
  • semiparametric regression;
  • time series modeling

Abstract

After an overview of important developments of option pricing theory, this article describes statistical approaches to modeling the difference between the theoretical and actual prices. An empirical study is given to compare various approaches. WIREs Comp Stat 2011 3 566–576 DOI: 10.1002/wics.186

For further resources related to this article, please visit the WIREs website.