搜索结果: 1-2 共查到“应用经济学 Nonparametric”相关记录2条 . 查询时间(0.072 秒)
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition;Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...