کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091020 | 1375656 | 2007 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Closed-form transformations from risk-neutral to real-world distributions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Risk-neutral and real-world densities are derived from option prices and risk assumptions, and are compared with historical densities obtained from time series. Two parametric risk-transformations are used to convert risk-neutral densities into real-world densities. Both transformations are estimated by maximizing the likelihood of observed index levels, for two parametric density families. Results for the FTSE-100 index show that parametric densities derived from option prices have more explanatory power than historical densities and higher likelihoods than densities estimated by spline methods. A combination of parametric real-world and historical densities provides the preferred predictive densities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 31, Issue 5, May 2007, Pages 1501-1520
Journal: Journal of Banking & Finance - Volume 31, Issue 5, May 2007, Pages 1501-1520
نویسندگان
Xiaoquan Liu, Mark B. Shackleton, Stephen J. Taylor, Xinzhong Xu,