Showing 1 - 10 of 1,681
The Black-Scholesmodelis basedona one-parameter pricingkernel with constantelasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel withat leasttwo parameters.We price European-style optionson assets whose probability distributions have two unknown...
Persistent link: https://www.econbiz.de/10003876685
Persistent link: https://www.econbiz.de/10003838537
This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...
Persistent link: https://www.econbiz.de/10008649405
Persistent link: https://www.econbiz.de/10008659148
Persistent link: https://www.econbiz.de/10010204094
Persistent link: https://www.econbiz.de/10009581652
Persistent link: https://www.econbiz.de/10009582368
Persistent link: https://www.econbiz.de/10009582829
The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market's expectation of volatility. Much research has been done on the...
Persistent link: https://www.econbiz.de/10009615424
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