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Title:Constrained general regression in pseudo-Sobolev spaces with application to option pricing PDF Logo
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
multiple observations
covariance structure
option price
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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