From skews to a skewed-t: Modelling option-implied returns by a skewed Student-t Cyriel de Jong and Ronald Huisman ERASMUS RESEARCH INSTITUTE OF MANAGEMENT REPORT SERIES RESEARCH IN MANAGEMENT BIBLIOGRAPHIC DATA AND CLASSIFICATIONS
نویسندگان
چکیده
In this paper we present a new methodology to infer the implied risk-neutral distribution function from European-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters to compare different distributions and use the parameters as inputs to price other options. We explain the method, provide some empirical results and compare them with the results of alternative models. The results indicate that our model provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than most other models. We conclude that the skewed Student-t method provides a good alternative for European-style options.
منابع مشابه
Informed Option Trading Strategies: the Impact on the Underlying Price Process Cyriel De Jong Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications
ERIM Report Series reference number ERS-2001-55-F&A Publication September 2001 Number of pages 31 Email address corresponding author [email protected] Address Erasmus Research Institute of Management (ERIM) Rotterdam School of Management / Faculteit Bedrijfskunde Erasmus Universiteit Rotterdam P.O. Box 1738 3000 DR Rotterdam, The Netherlands Phone: + 31 10 408 1182 Fax: + 31 10 408 9640 Email: i...
متن کاملBergh, U. Kaymak Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications
متن کامل
Resource-based Perspective Ernst Verwaal and Bas Donkers Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications
This paper presents a unifying theory, explaining the different relationships between firm size and export intensity that have been found in previous studies. We propose that transaction costs economies and different types of resources induce a moderating effect on the firm size and export intensity relationship. Data on international businesses in the Netherlands are used to test the theoretic...
متن کاملReverse Logistics Network Structures and Design Moritz Fleischmann Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications
Logistics network design is commonly recognized as a strategic supply chain issue of prime importance. The location of production facilities, storage concepts, and transportation strategies are major determinants of supply chain performance. This chapter considers logistics network design for the particular case of closed-loop supply chains. We highlight key issues that companies are facing whe...
متن کاملThe Effect of Relational Constructs on Relationship PERFORMANCE: DOES DURATION MATTER? PETER C. VERHOEF, PHILIP HANS FRANSES, JANNY C. HOEKSTRA ERASMUS RESEARCH INSTITUTE OF MANAGEMENT REPORT SERIES RESEARCH IN MANAGEMENT BIBLIOGRAPHIC DATA AND CLASSIFICATIONS
We examine the effect of relational constructs, such as satisfaction, trust and commitment on relationship performance (that is, positive word-of-mouth communication and the margin provided by each customer) of customers of an insurance company. A central issue concerns the effect of duration on the associations between relational constructs and relationship performance. Our empirical results p...
متن کامل