Browsing by Subject "Nonparametric methods"

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    Degree of mispricing with the black-scholes model and nonparametric cures
    (Peking University Press, 2003) Gençay, R.; Salih, A.
    The Black-Scholes pricing errors are larger in the deeper out-of-the-money options relative to the near out-of-the-money options, and mispricing worsens with increased volatility. Our results indicate that the Black-Scholes model is not the proper pricing tool in high volatility situations especially for very deep out-of-the-money options. Feedforward networks provide more accurate pricing estimates for the deeper out-of-the money options and handles pricing during high volatility with considerably lower errors for out-of-the-money call and put options. This could be invaluable information for practitioners as option pricing is a major challenge during high volatility periods.
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    Searching for a Kuznets curve in environmental efficiency using kernel estimation
    (Elsevier BV, 2000) Taskin, F.; Zaim, O.
    The paper constructs environmental efficiency indexes for a sample consisting of high- and low-income countries using nonparametric production frontier techniques and then establishes an environmental Kuznets relationship for environmental efficiency by Nadaraya-Watson kernel estimation methodology. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: Q25; Q32.