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2010-09-09Buch DOI: 10.18452/4273
Parametric estimation of risk neutral density functions
dc.contributor.authorGrith, Maria
dc.contributor.authorKrätschmer, Volker
dc.date.accessioned2017-06-16T00:12:28Z
dc.date.available2017-06-16T00:12:28Z
dc.date.created2010-10-27
dc.date.issued2010-09-09
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4925
dc.description.abstractThis chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions determining the risk neutral distributions. We we shall differentiate between the direct and the indirect way. Following the direct way, parameter vectors are estimated which characterize the distributions from selected statistical families to model the risk neutral distributions. The idea of the indirect approach is to calibrate characteristic parameter vectors for stochastic models of the asset price processes, and then to extract the risk neutral density function via Fourier methods. For every of the reviewed methods the calculation of option prices under hypothetically true risk neutral distributions is a building block. We shall give explicit formula for call and put prices w.r.t. reviewed parametric statistical families used for direct estimation. Additionally, we shall introduce the Fast Fourier Transform method of call option pricing developed in [6]. It is intended to compare the reviewed estimation methods empirically.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectRisk neutral valuation principleeng
dc.subjectrisk neutral distributioneng
dc.subjectlogprice risk neutral distributioneng
dc.subjectrisk neutral density functioneng
dc.subjectBlack Scholes formulaeng
dc.subjectFast Fourier Transform methodeng
dc.subjectlog-normal distributionseng
dc.subjectmixtures of log-normal distributionseng
dc.subjectgeneralized gamma distributionseng
dc.subjectmodel calibrationeng
dc.subjectMerton’s jump diffusion modeleng
dc.subjectHeston’s volatility modeleng
dc.subject.ddc330 Wirtschaft
dc.titleParametric estimation of risk neutral density functions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100176440
dc.identifier.doihttp://dx.doi.org/10.18452/4273
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue45
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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