Non Parametric Estimates of Option Prices Using Superhedging
General Finance
2020-03-03 v1 Computational Finance
Abstract
We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As an application we first test the methodology on a simulated sample of option prices and then on the S\&P 500 index options.
Keywords
Cite
@article{arxiv.1502.03978,
title = {Non Parametric Estimates of Option Prices Using Superhedging},
author = {Gianluca Cassese},
journal= {arXiv preprint arXiv:1502.03978},
year = {2020}
}
Comments
arXiv admin note: text overlap with arXiv:1406.0412