2 edition of **Option pricing : modeling and extracting state-price densities** found in the catalog.

Option pricing : modeling and extracting state-price densities

Christian Pirkner

- 194 Want to read
- 39 Currently reading

Published
**1999** by Verlag Paul Haupt in Bern .

Written in English

- Options (Finance) -- Prices.,
- Derivative securities.

**Edition Notes**

Statement | von Chrisian Pirkner. |

Series | Bank- und finanzwirtschaftliche Forschungen ;, bd. 308 |

Classifications | |
---|---|

LC Classifications | HG6024.A3 P54 1999 |

The Physical Object | |

Pagination | xviii, 147 p. : |

Number of Pages | 147 |

ID Numbers | |

Open Library | OL6839665M |

ISBN 10 | 3258061017 |

LC Control Number | 00338251 |

Duffee: Estimating the price of default risk, Rev. Tian, Y. We apply copulae to the estimation of the Value-at-Risk and the Expected Shortfall, and show that the Student-t copula with Student-t marginals is superior to the alternative copula models investigated, as well the Riskmetics approach. Incumbent technologies—in this case, ICE vehicles—can be difficult to unseat; they have years of production and design experience, which make their production costs lower than those of emerging technologies and thus more affordable. Bayraktar and Y. We want to model a network consisting nodes and edges, where each node corresponds to a bank and each link describes the amount of lending between these banks.

The book closes with a chapter of Aydnl, who introduces a technology to connect standard software with the XploRe server in order to have access to quantlets developed in this book. The CVA calculation is subjected to large uncertainty of model risks, mostly due to the lack of data for calibrating jump-to-default probabilities. Recommendation: The federal government should refrain from additional direct investment in the installation of public charging infrastructure pending an evaluation of the relationship between the availability of public charging and PEV adoption or use. We show based on the goodness-of-fit testing that the SGH class outperforms the normal distribution, and that the Student-t assumption on marginals leads to the best performance, and thus, can be used to fit multivariate copula for the joint distribution of equity index returns. Although there exists a huge body of research for European-style derivatives, most of the options traded at organized exchanges are Americanstyle. In order to better estimate and match news impact curves to the data, several new candidates for modeling time-varying volatility are introduced and contrasted.

Both model classes can account for unconditional fat tails. Springer Berlin Heidelberg, Hedging of Variance Derivatives Variance derivatives are a class of derivative securities where the payoff explicitly depends on some measure of the variance of an underlying asset. Determining the need for incentives is difficult because little is yet known about the effectiveness of PEV incentive programs. Dentcheva, D. Cox, S.

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Oxford, United Kingdom, Oxford Vol. Bianchi, L. Prices of state-contingent claims implicit in option prices. Specifically, it could double the daily travel distance that is fueled by electricity if combined with home charging and could in principle make possible the use of limited-range BEVs when no home charging is available.

In this paper a multivariate generalized autoregressive conditional heteroscedastic process is estimated for returns to bills, bonds, and stock where the expected return is proportional to the conditional convariance of each return with that of a fully diversified or market portfolio.

Operations Research, 56 3 : Recommendation: To ensure that adopters of PEVs have incentives to charge vehicles at times when the cost of supplying energy is low, the federal government should propose that state regulatory commissions offer PEV owners the option of purchasing electricity under time-of-use or real-time pricing.

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Eberand, D. Berlin: Springer. Doshi, H. Tapiero: Impulsive control in management: Prospects and applications, J. Journal of Financial Economics, 72 2 Cornish-Fisher is extremely fast compared to partial Monte Carlo and Fourier inversion, but not as robust, as it gives unacceptable results in one of the four sample portfolios.

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We propose an approach for smoothing the implied volatility smile in an arbitrage-free way. The pricing of exotic options via a simulation approach is introduced by L ussem and Schumacher The chapter by Franke, Holzberger and M uller is devoted to a nonparametric estimation approach of GARCH models.() A new framework for extracting coarse-grained models from time series with multiscale structure.

() Alternative Methods to Estimate the State Price Density. Theory of Probability & Its Applications The IMF has had extensive involvement in the stress testing of financial systems in its member countries.

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8 Estimating State-Price Densities with Nonparametric Regression. Kim Huynh, Pierre Kervella and Jun Zheng Quasi Monte Carlo (QMC) techniques for option pricing In the next two chapters the authors estimate the risk neutral state price density from observed option prices and the corresponding implied volatilities.

On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations. PIERRE COLLIN‐DUFRESNE. ()) of extracting implied state price densities from quoted option prices.9 One common approach is to use a “local volatility” model, A large literature investigates parametric option pricing models.