Narrow search
Showing 1 - 10 of 4,386
Cover Image
Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications
Phillips, Peter C. B.; Xu, Ke-Li - 2010
the total volatility function in a continuous-time jump diffusion model …
Persistent link: https://www.econbiz.de/10014049786
Cover Image
Robust Estimation of Shape-Constrained State Price Density Surfaces
Ludwig, Markus - 2015
In order to better capture empirical phenomena, research on option price and implied volatility modeling increasingly … demonstrate the numerical stability and the pricing performance of our method by approximating arbitrage-free implied volatility …
Persistent link: https://www.econbiz.de/10013036562
Cover Image
VaR/CVaR Estimation Under Stochastic Volatility Models
Han, Chuan-Hsiang - 2013
This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value … components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation …
Persistent link: https://www.econbiz.de/10013088465
Cover Image
Robust estimation of shape-constrained state price density surfaces
Ludwig, Markus - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 56-72
Persistent link: https://www.econbiz.de/10011399679
Cover Image
A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap
Jiang, Liyuan - 2018
In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S&P 500 market option prices from 1996 to 2015. A...
Persistent link: https://www.econbiz.de/10012908839
Cover Image
Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
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
Cover Image
Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob - 2012
volatility, the drift, the intensity and the Lévy density at nitely many points in the spectral calibration method. Furthermore …, the asymptotic normality result leads to a test on the value of the volatility in exponential Lévy models. -- European …
Persistent link: https://www.econbiz.de/10009487321
Cover Image
Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang - 2015
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
Cover Image
Uniform Convergence Rates for Nonparametric Estimators of a Density Function and its Derivatives when the Density has a Known Pole
Srisuma, Sorawoot - 2021
We study the uniform convergence rates of a nonparametric estimator for a probability density function and its derivatives when the density has a known pole. Such situation arises in some structural microeconometric models, e.g. in auction, labor, and consumer search. Existing uniform...
Persistent link: https://www.econbiz.de/10013231122
Cover Image
A dynamic semiparametric factor model for implied volatility string dynamics
Fengler, Matthias R. (contributor);  … - 2005
A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity … approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias … generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega …
Persistent link: https://www.econbiz.de/10003036581