| Autor: |
Frasso, Gianluca, Eilers, Paul H. C. |
| Rok vydání: |
2016 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability density function. We model the logarithm of the latter as a smooth function while matching the expected values of the potential pay-offs with the observed prices. This leads to a special case of the penalized composite link model. Our estimates do not rely on any parametric assumption on the underlying asset price dynamics and are consistent with no-arbitrage conditions. The model shows excellent performance in simulations and in application to real data. |
| Databáze: |
arXiv |
| Externí odkaz: |
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