Search Results - subject:"State price density"

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of Econometrics 184 (2015) 2, pp. 242-261

We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The...

Persistent link: https://www.econbiz.de/10011117414

Arbitrages and Arrow-Debreu Prices

Barone, Gaia - In: Rivista di Politica Economica 98 (2008) 6, pp. 43-78

to extract from these options’ quotes the state-price density consistent with the Merton model. The structure of the …; finally, in Section 4 we estimate the state-price density consistent with the Merton-Geske model. Some conclusions follow. …

Persistent link: https://www.econbiz.de/10008632947

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Computational Statistics & Data Analysis 78 (2014) C, pp. 218-234

model involved in state-price density estimation based on S&P 500 options data. …

Persistent link: https://www.econbiz.de/10010785340

Nonparametric option pricing with no-arbitrage constraints

Birke, Melanie; Pilz, Kay F. - 2007

We propose a completely kernel based method of estimating the call price function or the state price density of options … Litzenberger (1978) without necessarily estimating the state price density for an underlying asset price from its option prices. It …

Persistent link: https://www.econbiz.de/10010298211

Nonparametric option pricing with no-arbitrage constraints

Birke, Melanie; Pilz, Kay F. - Institut für Wirtschafts- und Sozialstatistik, … - 2007

Persistent link: https://www.econbiz.de/10009219838

Application of Smoothing Techniques to Implied Volatility

Zeng, Jin - 2005

result to Black and Scholes model and calculate the state price density (SPD). In a Black-Scholes model it is lognormal …

Persistent link: https://www.econbiz.de/10009467249

Dynamics of state price densities

Härdle, Wolfgang Karl; Hlávka, Zdeněk - 2005

State 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...

Persistent link: https://www.econbiz.de/10010274277

Dynamics of State Price Densities

Härdle, Wolfgang; Hlavka, Zdenek - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

Persistent link: https://www.econbiz.de/10005677900

Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias; Hin, Lin-Yee - School of Economics and Political Science, Universität … - 2011

We suggest a semi-nonparametric estimator for the entire call price surface based on a tensor-product B-spline. To enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the control net of the tensor product (TP) B-spline. Since...

Persistent link: https://www.econbiz.de/10009322530