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?:abstract
  • State price densities (SPDs) are an important element in applied quantitative finance. In a Black-Scholes world they are lognormal distributions but in practice volatility changes and the distribution deviates from log-normality. In order to study the degree of this deviation, we estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call pricing function. The estimator is constrained so as to satisfy no-arbitrage constraints and corrects for the intraday covariance structure in option prices. In contrast to existing methods, we do not use any parametric or smoothness assumptions. (xsd:string)
?:contributor
?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1016/j.jeconom.2009.01.005 ()
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  • true (xsd:boolean)
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?:inLanguage
  • en (xsd:string)
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?:issueNumber
  • 1 (xsd:string)
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?:name
  • Dynamics of state price densities (xsd:string)
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?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Journal of Econometrics, 150, 2009, 1, 1-15 (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-212436 ()
?:volumeNumber
  • 150 (xsd:string)