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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25152
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| Title: | | Constrained general regression in pseudo-Sobolev spaces with application to option pricing  |
| Authors: | | Hlávka, Zdeněk Peésta, Michal |
| Issue Date: | | 2006 |
| Series/Report no.: | | SFB 649 discussion paper 2006,069 |
| Abstract: | | 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. |
| Subjects: | | isotonic regression Sobolev spaces monotonicity multiple observations covariance structure option price |
| JEL: | | C10 C13 C14 C20 C88 G13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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