کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100247 1478824 2017 50 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric estimates of pricing functionals
ترجمه فارسی عنوان
تخمین های غیر پارامترهای کاربردی قیمت گذاری
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are considered, obtained by estimating the pricing functional directly, and by estimating the (Black-Scholes) implied volatility surface, respectively. In each case simple estimators based on linear interpolation are constructed, as well as more sophisticated ones based on smoothing kernels, à la Nadaraya-Watson. The results based on the analysis of the empirical pricing errors in an extensive out-of-sample study indicate that a simple approach based on the Black-Scholes formula coupled with linear interpolation of the volatility surface outperforms, both in accuracy and computational speed, all other methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 44, December 2017, Pages 19-35
نویسندگان
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