haku: @author Ait-Sahalia, Y. / yhteensä: 5
viite: 3 / 5
| Tekijä: | Ait-Sahalia, Y. Lo, A. W. |
| Otsikko: | Nonparametric estimation of state-price densities implicit in financial asset prices. |
| Lehti: | Journal of Finance
1998 : APR, VOL. 53:2, p. 499-547 |
| Asiasana: | ASSETS SECURITIES PRICING SHARE PRICES INVESTMENT ANALYSIS MONTE CARLO TECHNIQUE |
| Kieli: | eng |
| Tiivistelmä: | Implicit in the prices of traded financial assets are Arrow-Debreu prices or, with continuous states, the state-price density (SPD). The authors construct a nonparametric estimator for the SPD implicit in option prices and drive its asymptotic sampling theory. This estimator provides an arbitrage-free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, for example, negative skewness and excess kurtosis for asset returns, and volatility 'smiles' for option prices. The empirical application involves S&P 500 index options using Monte Carlo simulation. |
SCIMA