Semi-Parametric Estimation of American Option Prices

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2010 Italy English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Gagliardini P.; Ronchetti D.;

doi: 10.2139/ssrn.1738219 , 10.1016/j.jeconom.2012.10.002

handle: 11584/283521

Semi-Parametric Estimation of American Option Prices

- Summary
- Subjects
- Metrics

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country

Italy

Related Organizations

View all View all

Keywords

Applications of statistics to actuarial sciences and financial mathematics, dynamic programming, Stopping times; optimal stopping problems; gambling theory, Density estimation, Fréchet derivative, Derivative securities (option pricing, hedging, etc.), semiparametric estimation, kernel estimator, American option, American option; Dynamic programming; Fréchet derivative; Kernel estimator; Semi-parametric estimation

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	8
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average