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A Non-Parametric Option Pricing Model: Theory and Empirical Evidence

✍ Scribed by Ren-Raw Chen; Oded Palmon

Publisher
Springer US
Year
2005
Tongue
English
Weight
404 KB
Volume
24
Category
Article
ISSN
0924-865X

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## Abstract Price discovery is an essential function performed by derivative markets. For a derivative exchange, its markets' ability to incorporate information into prices to β€œderive” the underlying asset's value is a key objective of market design. The J. Hasbrouck (1991a) model is applied to exa