Alternative tilts for nonparametric option pricing
نویسندگان
چکیده
منابع مشابه
Alternative Tilts for Nonparametric Option Pricing∗
This paper generalizes the nonparametric approach to option pricing of Stutzer (1996) by demonstrating that the canonical valuation methodology introduced therein is one member of the Cressie-Read family of divergence measures. While the limiting distribution of the alternative measures is identical to the canonical measure, the finite sample properties are quite different. We assess the abilit...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2009
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.20445