Resource title

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Resource image

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Resource description

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.

Resource author

Zdeněk Hlávka, Michal Peésta

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25152

Resource license

Adapt according to the presented license agreement and reference the original author.