Semi-nonparametric approximation and index options
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DOI: 10.1007/s10436-018-0341-4
Abstract: In an arbitrage-free securities market, all state-contingent claims and the stochastic discount factors can be approximated appropriately by index options with a semi-nonparametric method. These index options are constructed by efficient algorithms and uniform approximation… read more here.
Keywords: index; index options; options semi; nonparametric approximation ... See more keywords