Czasopismo
Tytuł artykułu
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Warianty tytułu
Języki publikacji
Abstrakty
The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option pricing. By replacing the unknown theoretical characteristic function with the empirical one the obtained model can be considered as a consistent estimator of the original Lewis formula. We explore the behaviour of this model on empirical data and conclude that it is necessary to allow for two additional implied parameters to obtain option pricing superior to other models reported in the literature.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
13-26
Opis fizyczny
Daty
wydano
2010
Twórcy
autor
- Department of Statistics, Macquarie University, Sydney NSW 2109, Australia
autor
- Department of Statistics, Macquarie University, Sydney NSW 2109, Australia
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc90-0-1