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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
A Nonparametric Approach to Derivative Asset Pricing
Derivative pricing European options nonparametric kernel estimation
2010/9/7
We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call options based on nonparametric estimation of returns. Densities are estimated using kernel estimation on rando...