Journal article | Zeitschriftenartikel

Dynamics of state price densities

State price densities (SPDs) are an important element in applied quantitative finance. In a Black-Scholes world they are lognormal distributions but in practice volatility changes and the distribution deviates from log-normality. In order to study the degree of this deviation, we estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call pricing function. The estimator is constrained so as to satisfy no-arbitrage constraints and corrects for the intraday covariance structure in option prices. In contrast to existing methods, we do not use any parametric or smoothness assumptions.

Urheber*in: Härdle, Wolfgang; Hlávka, Zdeněk

Free access - no reuse

Extent: Seite(n): 1-15

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Journal of Econometrics, 150(1)

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik

Event: Geistige Schöpfung

(who): Härdle, Wolfgang
Hlávka, Zdeněk

Event: Veröffentlichung

(where): Niederlande

(when): 2009

DOI: https://doi.org/10.1016/j.jeconom.2009.01.005

URN: urn:nbn:de:0168-ssoar-212436

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:26 PM CEST

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Object type

Zeitschriftenartikel

Associated

Härdle, Wolfgang
Hlávka, Zdeněk

Time of origin

2009

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