منابع مشابه
Dynamics of State Price Densities
State price densities (SPD) are an important element in applied quantitative finance. In a Black-Scholes model they are lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from log-normality. We estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call ...
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Implicit in the prices of traded nancial assets are Arrow-Debreu prices or, with continuous states, the state-price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and derive 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 a...
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Derivatives Conference at FDIC, and the 2007 China International Conference in Finance for helpful discussions. We are responsible for any remaining errors.
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This paper studies the dynamic behavior of price elasticity and its effects on the overall profit. Although price elasticity has a significant effect on sales, its dynamics have not been examined so far in pricing models. In this paper, a simple pricing model is suggested in which, price elasticity is considered dynamic. The suggested pricing model is concerned with a monopolist that its object...
متن کاملThe Equation of State at Subnuclear Densities
We first discuss the thermal properties of bulk hot nucleon matter with variable proton to total baryon ratio, Y . Of particular interest are the phase transitions and the coexistence curves, which have unusual features because of the additional degree of freedom associated with Y . Coulomb and surface effects, which modify these properties, are treated with a nuclear Thomas-Fermi model. The la...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2009.01.005