Journal of Applied Mathematics and Decision Sciences
Volume 6 (2002), Issue 1, Pages 1-22
doi:10.1155/S1173912602000019
Abstract
In this review paper we summarise several nonparametric methods recently
applied to the pricing of financial options. After a short introduction to martingale-based
option pricing theory, we focus on two possible fields of application for nonparametric
methods: the estimation of risk-neutral probabilities and the estimation of the dynamics
of the underlying instruments in order to construct an internally consistent model.