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2001-09-07Buch DOI: 10.18452/3458
Dynamic Nonparametric State Price Density EstimationUsing Constrained Least Squares and the Bootstrap
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorYatchew, Adonis
dc.date.accessioned2017-06-15T21:03:32Z
dc.date.available2017-06-15T21:03:32Z
dc.date.created2005-10-07
dc.date.issued2001-09-07
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4110
dc.description.abstractThe economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various restrictions within a single least squares procedure thus permitting investigation of a wide variety of model specifications and constraints. Among these we consider monotonicity and convexity of the call function and integration to one of the state price density. The procedure easily accommodates heteroskedasticity of the residuals. Static and dynamic properties can be tested using both asymptotic and bootstrap methods. Our monte carlo simulations suggest that bootstrap confidence intervals are far superior to aymptotic ones particularly when estimating derivatives of the call function. We apply the techniques to option pricing data on the DAX.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectoption pricingeng
dc.subjectstate price density estimationeng
dc.subjectconvexityeng
dc.subjectmonotonicityeng
dc.subjectnonparametric least squareseng
dc.subjectbootstrap inferenceeng
dc.subject.ddc330 Wirtschaft
dc.titleDynamic Nonparametric State Price Density EstimationUsing Constrained Least Squares and the Bootstrap
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048688
dc.identifier.doihttp://dx.doi.org/10.18452/3458
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue16
local.edoc.container-year2002
local.edoc.container-erstkatid2135319-0

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