Online Resource
Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Format:
1 Online-Ressource (14 Seiten)
ISSN:
1436-1086
Series Statement:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2003,2003,34
Content:
The state price density is a second derivative of the discounted European options prices with respect to the strike price. We use Maximum Likelihood method to derive a simple estimator of the curve such that it is decreasing, convex and its second derivative integrates to one. Confidence intervals for this estimator can be constructed using standard Maximum Likelihood theory. The method works well in praxis as illustrated on the DAX option prices data.
Language:
English
URN:
urn:nbn:de:kobv:11-10050408
URL:
Volltext
(kostenfrei)
| Library |
Location |
Call Number |
Volume/Issue/Year |
Availability |
