A Bayesian nonparametric approach to option pricing

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Nonparametric Option Pricing by Transformation

This paper develops a nonparametric option pricing theory and numerical method for European, American and path-dependent derivatives. In contrast to the nonparametric curve fitting techniques commonly seen in the literature, this nonparametric pricing theory is more in line with the canonical valuation method developed Stutzer (1996) for pricing options with only a sample of asset returns. Unli...

متن کامل

Actuarial Approach to Option Pricing

Over sixty years ago, the Swedish actuary F. Esscher suggested that the Edgeworth approximation (a refinement of the normal approximation) yields better results, if it is applied to a modification of the original distribution of aggregate claims. In this paper, this Esscher transform is defined more generally as a change of measure for a certain class of stochastic processes that model stock pr...

متن کامل

A Nonparametric Approach to Derivative Asset Pricing

In this research we examine a new method for pricing European call options based on a nonparametric estimate of the probability density of the underlying asset’s returns. Such an approach allows the use of asymmetric and leptokurtic distributions. We estimate the density using a kernel estimation technique applied to random samples drawn from three particular underlying distributions: the Gauss...

متن کامل

A Nonparametric Approach to Multiproduct Pricing

Developed by General Motors (GM), the Auto Choice Advisor web site (http://www.auto choiceadvisor.com) recommends vehicles to consumers based on their requirements and budget constraints. Through the web site, GM has access to large quantities of data that reflect consumer preferences. Motivated by the availability of such data, we formulate a non-parametric approach to multi-product pricing. W...

متن کامل

A Prospect Approach to Option Pricing

It’s a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial number of enhancements have been proposed in the literature, these approaches typically leave investor’s preferences towards risk unmodified. Recently, empirical studies using option prices find support for non-concave utility functions propo...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Brazilian Review of Finance

سال: 2020

ISSN: 1984-5146,1679-0731

DOI: 10.12660/rbfin.v18n4.2020.81913