Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22230
Authors: 
Cai, Zongwu
Hong, Yongmiao
Year of Publication: 
2003
Series/Report no.: 
Discussion papers of interdisciplinary research project 373 2003,15
Abstract: 
This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For each financial context, the paper discusses the suitable statistical concepts, models, and modeling procedures, as well as some of their applications to financial data. Their relative strengths and weakness are discussed. Much theoretical and empirical research is needed in this area, and more importantly, the paper points to several aspects that deserve further investigation.
Subjects: 
Continuous time model
derivative pricing
jump process
kernel smoothing
nonparametric test
non-stationarity
options
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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