Auflistung Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 nach Schlagwort "option pricing"
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2003-09-05BuchConfidence Intervals for State Price Densities The state price density is a second derivative of the discounted European options prices with respect to the strike price. We use Maximum Likelihood method to derive a simple estimator of the curve such that it is decreasing, ...
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2001-09-07BuchDynamic Nonparametric State Price Density EstimationUsing Constrained Least Squares and the Bootstrap The 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 ...
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2006-01-25BuchLocal Risk-Minimization under Transaction Costs We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk ...
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1999-07-01BuchOption Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis