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2005-04-01Buch DOI: 10.18452/3887
Dynamics of State Price Densities
dc.contributor.authorHärdle, Wolfgang
dc.contributor.authorHlávka, Zdeněk
dc.date.accessioned2017-06-15T22:54:04Z
dc.date.available2017-06-15T22:54:04Z
dc.date.created2005-09-01
dc.date.issued2005-04-01
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4539
dc.description.abstractState price densities (SPD) are an important element in applied quantitative finance. In a Black-Scholes model they are lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from log-normality. We estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call price function. The estimator is constrained so as to satisfy no-arbitrage constraints and it corrects for intraday covariance structure. Given a low dimensional representation of this SPD we study its dynamic for the years 1995–2003. We calculate a prediction corridor for the DAX for a 45 day forecast. The proposed algorithm is simple, it allows calculation of future volatility and can be applied to hedging exotic options.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectoption pricingeng
dc.subjectstate price density estimationeng
dc.subjectnonlinear least squareseng
dc.subjectconfidence intervalseng
dc.subject.ddc330 Wirtschaft
dc.titleDynamics of State Price Densities
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10045418
dc.identifier.doihttp://dx.doi.org/10.18452/3887
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages39
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue21
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

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