33 citations · 135 across the 41 of their papers we have counts for
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q-fin.PR2022★ 1 cited
Nonparametric estimates of option prices via Hermite basis functions
Carlo Marinelli, Stefano d'Addona
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite…
q-fin.PR2021
On certain representations of pricing functionals
Carlo Marinelli
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options w…
q-fin.PR2015
Nonparametric estimates of pricing functionals
Carlo Marinelli, Stefano d'Addona
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during…