It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling
Year of publication: |
2021
|
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Authors: | Höcht, Stephan ; Madan, Dilip B. ; Schoutens, Wim ; Verschueren, Eva |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 11, Art.-No. 196, p. 1-19
|
Subject: | pricing density | physical density | bilateral gamma | tilted bilateral gamma | call option | risk premium | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9110196 [DOI] hdl:10419/258279 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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