Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
نویسندگان
چکیده
منابع مشابه
Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équ...
متن کاملoption pricing models
this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
متن کاملOption Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملOption Pricing with State-Price Deflators: The Multivariate Exponential Wang Normal Variance: Gamma Asset Pricing Models
Alternatives to the Black-Scholes-Vasicek deflator introduced in [25] are proposed. They are based on the multivariate Wang variance-gamma process considered in [66]. As an application, closed form analytical multiple integral formulas for pricing the European geometric basket option with a deflated multivariate exponential Wang variance-gamma asset pricing model are derived. Mathematics Subjec...
متن کاملBayesian option pricing using mixed normal heteroskedasticity models
While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs sampling is explained and we ...
متن کاملذخیره 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: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1682110