Showing 1 - 10 of 976
In this paper, we investigate the information content of implied probabilities (Back and Brown, 1993) to improve estimation in unconditional moment conditions models. We propose and evaluate two 3-step euclidian empirical likelihood estimators and their bias-correction versions for weakly...
Persistent link: https://www.econbiz.de/10014221481
We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of the studies in the literature that use an indirect approach, i.e. first estimating the physical and risk-neutral densities and obtaining the pricing kernel in a second step, we...
Persistent link: https://www.econbiz.de/10013108080
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with non-parametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...
Persistent link: https://www.econbiz.de/10012966302
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/10013037722
This paper studies the nonparametric identification and estimation of projected pricing kernels implicit in European option prices and underlying asset returns using conditional moment restrictions. The proposed series estimator avoids computing ratios of estimated risk-neutral and physical...
Persistent link: https://www.econbiz.de/10013226298
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...
Persistent link: https://www.econbiz.de/10003952791
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...
Persistent link: https://www.econbiz.de/10009487321
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10010462645
In order to better capture empirical phenomena, research on option price and implied volatility modeling increasingly advocates the use of nonparametric methods over simple functional forms. This, however, comes at a price, since these methods require dense observations to yield sensible...
Persistent link: https://www.econbiz.de/10013036562
This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. The pricing however of these kinds of contracts represents a challenge....
Persistent link: https://www.econbiz.de/10013109851