Abstract:This paper derives, tests and discusses a comprehensive and easy to use nonparametric option-valuation model, using a representative set of historical data on underlying asset returns jointly with an assumption of minimalistic implied information on current market trend and volatility expectations. Its testing on empirical data from Warsaw Stock Exchange trading for two distinct periods of 2014 suggests that such distribution-free models are capable of delivering useful market insights as well as applicability… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.