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Non Parametric Estimates of Option Price...

Cassese, Gianluca...

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Non Parametric Estimates of Option Prices Using Superhedging by Cassese, Gianluca ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	13-02-2015
Summary	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.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	https://arxiv.org/abs/1502.03978

Citation

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AMA 11th EditionReferences

Cassese, Gianluca. Non Parametric Estimates of Option Prices Using Superhedging. N.A. February 13, 2015. Accessed October 02, 2025. https://online.provdatabase.com/cite/18360

APA 7th EditionReferences

Cassese, Gianluca. (2015). Non Parametric Estimates of Option Prices Using Superhedging. N.A. https://online.provdatabase.com/cite/18360

Chicago 17th EditionReferences

Cassese, Gianluca. Non Parametric Estimates of Option Prices Using Superhedging. N.A. 2015. https://online.provdatabase.com/cite/18360

HarvardReferences

Cassese, Gianluca. (2015). Non Parametric Estimates of Option Prices Using Superhedging. [Online]. N.A. Available from: https://online.provdatabase.com/cite/18360. (Accessed 02 October 2025).

Harvard AustraliaReferences

Cassese, Gianluca, 2015, Non Parametric Estimates of Option Prices Using Superhedging, N.A, viewed 02 October 2025, <https://online.provdatabase.com/cite/18360>

MLA 9th EditionWorks Cited

Cassese, Gianluca. Non Parametric Estimates of Option Prices Using Superhedging. N.A, 2015. PROV Database, https://online.provdatabase.com/cite/18360.

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