341
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

A nonparametric kernel regression approach for pricing options on stock market index

References

  • Ait-Sahalia, Y. 1996. “Testing Continuous-Time Models of the Spot Interest Rate.” Review of Financial Studies 9: 385–426. doi:10.1093/rfs/9.2.385.
  • Bakshi, G., C. Cao, and Z. Chen. 1997. “Empirical Performance of Alternative Option Pricing Models.” Journal of Finance 52: 2003–2049.
  • Black, F. 1975a. “Forecasting Variance of Stock Prices for Options Trading and Other Purposes.” In Seminar on the Analysis of Security Prices. Chicago, IL: University of Chicago.
  • Black, F. 1975b. “Fact and Fantasy in the Use of Options.” Financial Analysts Journal 31: 36–41 and 61–72. doi:10.2469/faj.v31.n4.36.
  • Black, F. 1976. “Studies of Stock Price Volatility Changes.” In Proceedings of the 1976 Meetings of the Business & Economics Statistics Section, 177–181. Washington, DC: American Statistical Association.
  • Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81: 637–659. doi:10.1086/jpe.1973.81.issue-3.
  • Blattberg, R. C., and N. J. Gonedes. 1974. “A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices.” The Journal of Business 47: 244–280. doi:10.1086/jb.1974.47.issue-2.
  • Bollerslev, T., R. Y. Chou, and K. F. Kroner. 1992. “ARCH Modeling in Finance.” Journal of Econometrics 52: 5–59. doi:10.1016/0304-4076(92)90064-X.
  • Castanias, R. P. 1979. “Macroinformation and the Variability of Stock Market Prices.” Journal of Finance 34: 439–450.
  • Chapman, D. A., and N. D. Pearson. 2000. “Is the Short Rate Drift Actually Nonlinear?” The Journal of Finance 55: 355–388. doi:10.1111/jofi.2000.55.issue-1.
  • Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances Value, Leverage and Interest Rate Effects.” Journal of Financial Economics 10: 407–432. doi:10.1016/0304-405X(82)90018-6.
  • Cox, J. C., and S. A. Ross. 1976. “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics 3: 145–166.
  • Duan, J.-C. 1995. “The GARCH Option Pricing Model.” Mathematical Finance 5: 13–32. doi:10.1111/mafi.1995.5.issue-1.
  • Engle, R. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50: 987–1008. doi:10.2307/1912773.
  • Fan, J., and Q. Yao. 2003. Nonlinear Time Series: Nonparametric and Parametric Methods. New York: Springer-Verlag.
  • Gultekin, B., R. Rogalski, and S. Tinic. 1982. “Option Pricing Model Estimates: Some Empirical Results.” Financial Management 11: 58–69. doi:10.2307/3665506.
  • Hardle, W. 1990. Applied Nonparametric Regression. Cambridge: Cambridge University Press.
  • Hardle, W. 1991. Smoothing Techniques: With Implementation in S. New York: Springer-Verlag.
  • Harrsion, J. M., and D. M. Kreps. 1979. “Martingales and Arbitrage in Multiperiod Security Markets.” Journal of Economic Theory 20: 381–408. doi:10.1016/0022-0531(79)90043-7.
  • Heston, S. L. 1993. “A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” Review of Financial Studies 6: 327–343. doi:10.1093/rfs/6.2.327.
  • Hull, J., and A. White. 1987. “The Pricing of Options on Assets with Stochastic Volatilities.” The Journal of Finance 42: 281–300. doi:10.1111/j.1540-6261.1987.tb02568.x.
  • Hull, J. C. 2006. Options, Futures, and Other Derivatives. 6th ed. Upper Saddle River, NJ: Prentice Hall.
  • Janssen, P., J. S. Marron, N. Veraverbeke, and W. Sarle. 1995. “Scale Measures for Bandwidth Selection.” Journal of Nonparametric Statistics 5: 359–380. doi:10.1080/10485259508832654.
  • Johnson, H., and D. Shanno. 1987. “Option Pricing When the Variance Is Changing.” The Journal of Financial and Quantitative Analysis 22: 143–151. doi:10.2307/2330709.
  • Jones, M. C., J. S. Marron, and S. J. Sheather. 1996. “A Brief Survey of Bandwidth Selection for Density Estimation.” Journal of the American Statistical Association 91: 401–407. doi:10.1080/01621459.1996.10476701.
  • Latane, H. A., and R. J. Rendleman. 1976. “Standard Deviations of Stock Price Ratios Implied in Option Prices.” Journal of Finance 31: 369–381. doi:10.1111/j.1540-6261.1976.tb01892.x.
  • Lo, A. W., H. Mamaysky, and J. Wang. 2000. “Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.” Journal of Finance 55: 1705–1765.
  • MacBeth, J., and L. Merville. 1979. “An Empirical Examination of the Black-Scholes Call Option Pricing Formula.” Journal of Finance 34: 1173–1186.
  • Mandelbrot, B. 1963. “The Variation of Certain Speculative Prices.” Journal of Business 36: 394–419.
  • Marron, J. S. 1988. “Automatic Smoothing Parameter Selection: A Survey.” Empirical Economics 13: 187–208. doi:10.1007/BF01972448.
  • Melino, A., and S. Turnbull. 1990. “Pricing Foreign Currency Options with Stochastic Volatility.” Journal of Econometrics 45: 239–265. doi:10.1016/0304-4076(90)90100-8.
  • Nadaraya, E. A. 1964. “On Estimating Regression.” Theory of Probability & Its Applications 9: 141–142. doi:10.1137/1109020.
  • Oldfield, G. S., R. J. Rolgalski, and R. A. Jarrow. 1977. “An Autoregressive Jump Process for Common Stock Returns.” Journal of Financial Economics 5: 389–418. doi:10.1016/0304-405X(77)90045-9.
  • Pagan, A., and A. Ullah. 1999. Nonparametric Econometrics. Cambridge: Cambridge University Press.
  • Schmalensee, R., and R. R. Trippi. 1978. “Common Stock Volatility Expectations Implied by Option Premia.” The Journal of Finance 33: 129–147. doi:10.1111/j.1540-6261.1978.tb03394.x.
  • Scott, D. W. 1992. Multivariate Density Estimation: Theory, Practice, and Visualization. New York: John Wiley & Sons.
  • Scott, L. O. 1987. “Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application.” The Journal of Financial and Quantitative Analysis 22: 419–438. doi:10.2307/2330793.
  • Silverman, B. W. 1985. “Some Aspects of the Spline Smoothing Approach to Non-Parametric Regression Curve Fitting.” Journal of the Royal Statistical Society Series B 47: 1–52.
  • Silverman, B. W. 1986. Density Estimation for Statistics and Data Analysis. London: Chapman and Hall.
  • Stanton, R. A. 1997. “A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk.” The Journal of Finance 52: 1973–2002. doi:10.1111/j.1540-6261.1997.tb02748.x.
  • Stein, E. M., and J. C. Stein. 1991. “Stock Price Distributions with Stochastic Volatility: An Analytic Approach.” Review of Financial Studies 4: 727–752. doi:10.1093/rfs/4.4.727.
  • Wand, M. P., and M. C. Jones. 1995. Kernel Smoothing. London: Chapman and Hall.
  • Watson, G. S. 1964. “Smooth Regression Analysis.” Sankhya Series A 26: 359–372.
  • Whaley, R. 1982. “Valuation of American Call Options on Dividend-Paying Stocks.” Journal of Financial Economics 10: 29–58. doi:10.1016/0304-405X(82)90029-0.
  • Wiggins, J. B. 1987. “Option Values under Stochastic Volatility: Theory and Empirical Estimates.” Journal of Financial Economics 19: 351–372. doi:10.1016/0304-405X(87)90009-2.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.