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Showing 1 to 7 of 7 for “"Risk Neutral Density"”.
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Extracting risk aversion estimates from option prices/implied volatility
The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the …
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Uniform Confidence Band for Pricing Kernels
… 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 former density can be …
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Essays in asset prices and macroeconomics
… series of regularities about housing variables (risk premium, volatility and auto-correlation). In addition to, the model generates a more significant welfare cost of the business cycle in comparison with standard DSGE models, which is an important feature when trying to replicate asset pricing …
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Empirical essays on inferring information from options and other financial derivatives
… Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability of default, to calibrate to the market option prices. The CDS model assumes a constant default probability which is solved from …
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Implied probability distributions : estimation, testing and applications
… techniques for the estimation of implied risk-neutral densities. As a general rule, an assumption for a theoretical equilibrium option pricing model is made and with the use of cross-sections of observed options prices point estimates of the risk-neutral probability densities are obtained. …
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Graphical User Interface for pricing Cryptocurrency Options under the Stochastic Volatility with Correlated Jumps model
Seit ihrer Gründung haben Kryptowährungen die Aufmerksamkeit vieler Menschen sowohl in der Wissenschaft als auch in der Industrie auf sich gezogen, nicht nur wegen ihrer innovativen Technologie, sondern auch, weil sie zu wichtigen Finanzanlagen geworden sind. Der Derivatemarkt ist jedoch noch nicht …
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Pricing kernels and their dependence on the implied volatility index
… Ebenfalls fand der Bezug der Formen von risikoneutralen und physikalischen Dichten auf die Form der Pricing kernels statt.