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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
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A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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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
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Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …
Persistent link: https://www.econbiz.de/10012657696
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 376-413
Persistent link: https://www.econbiz.de/10011339301
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Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap
Härdle, Wolfgang; Yatchew, Adonis John - 2002
Persistent link: https://www.econbiz.de/10001668612
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Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap
Härdle, Wolfgang; Yatchew, Adonis John - 2001
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 nonparametric estimator of option pricing models which incorporates various...
Persistent link: https://www.econbiz.de/10009620779
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
-neutral density estimator and the subjective density estimator. The former density can be represented as the second derivative w …
Persistent link: https://www.econbiz.de/10003952791
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … second procedure applies kernel type smoothing in the implied volatility domain. In the conceptually different third approach …
Persistent link: https://www.econbiz.de/10003953034
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Nonparametric state price density estimation using constrained least squares and the bootstrap
Yatchew, Adonis John; Härdle, Wolfgang - In: Journal of econometrics 133 (2006) 2, pp. 579-599
Persistent link: https://www.econbiz.de/10003359592