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Paper / 2022SMQ / 62871405503067
Nonparametric estimates of option prices via Hermite basis functions
Carlo Marinelli / Stefano d'Addona
option pricingResource overview

Nonparametric estimates of option prices via Hermite basis functions

Paper2022

by Carlo Marinelli, Stefano d'Addona

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option pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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