dc.contributor.author | Härdle, Wolfgang | de |
dc.contributor.author | Hlávka, Zdeněk | de |
dc.date.accessioned | 2011-01-15T02:53:00Z | de |
dc.date.accessioned | 2012-08-29T23:11:04Z | |
dc.date.available | 2012-08-29T23:11:04Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/21243 | |
dc.description.abstract | 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. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Option pricing; State price density; Nonlinear least squares; Constrained estimation; JEL Classification: C13; C14; G13 | |
dc.title | Dynamics of state price densities | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 150 | de |
dc.publisher.country | NLD | |
dc.source.issue | 1 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-212436 | de |
dc.date.modified | 2011-01-17T15:42:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 1 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 1-15 | |
internal.identifier.classoz | 10905 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2009.01.005 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |