Index Option Pricing via Nonparametric Regression
Investors typically use the Black-Scholes (B-S) parametric model to value financial options. However, there is extensive empirical evidence that the B-S model, assuming constant volatility of stock returns, is far from adequate to price options. This paper, using nonparametric regression, incorpora...
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| Format: | Article |
| Language: | English |
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SGH Warsaw School of Economics, Collegium of Economic Analysis
2022-12-01
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| Series: | Econometric Research in Finance |
| Subjects: | |
| Online Access: | https://www.erfin.org/journal/index.php/erfin/article/view/168 |