Linear regression for currency European call option pricing in incomplete markets - UTT - Texte intégral
Pré-Publication, Document De Travail Année : 2025

Linear regression for currency European call option pricing in incomplete markets

Résumé

The Least squares is the traditional regression technique for pricing European options in incomplete markets. However, the least squares is quite sensitive to even a single outlier in the data, and thus the predicted option price may potentially deviate from the true unknown one. To alleviate the problem of outliers, this paper aims to develop two different option pricing prediction strategies based mainly on the idea of robust linear regression. The robust techniques proposed are evaluated on numerical data, the results of which demonstrate their effectiveness for European call option pricing on exchange rates.
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Dates et versions

hal-04815308 , version 1 (02-12-2024)
hal-04815308 , version 2 (05-01-2025)

Identifiants

  • HAL Id : hal-04815308 , version 2

Citer

Ahmad W. Bitar. Linear regression for currency European call option pricing in incomplete markets. 2025. ⟨hal-04815308v2⟩
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