Artikel
Asymptotic expansion of risk-neutral pricing density
A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is approximated by using a complete set of orthogonal Hermite-polynomials. The derivedmodel is calibrated and tested on a collection of 1075 European-style 'Deutscher Aktienindex' (DAX) index options and is shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods.
- Sprache
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Englisch
- Erschienen in
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-26 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Kolmogorov-backward-equation
asymptotic expansion
Hermite-polynomials
implied volatility surface
- Ereignis
-
Geistige Schöpfung
- (wer)
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Mazzoni, Thomas
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/ijfs6010030
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mazzoni, Thomas
- MDPI
Entstanden
- 2018
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