Utilize este identificador para referenciar este registo:
https://hdl.handle.net/10316/87034
Título: | Kernel density estimation using local cubic polynomials through option prices applied to intraday data | Autor: | Monteiro, Ana Margarida Machado Santos, António Alberto Ferreira |
Palavras-chave: | kernel functions, Local polynomials, No-arbitrage constraints, Option prices, Risk-neutral density | Data: | 28-Fev-2019 | Relatório da Série N.º: | CeBeR Working Paper 2019-02;; | Resumo: | A new approach is considered to estimate risk-neutral densities (RND) within a kernel regression framework, through local cubic polynomial estimation using intraday data. There is a new strategy for the definition of a criterion function used in nonparametric regression that includes calls, puts, and weights in the optimization problem associated with parameters estimation. No-arbitrage restrictions are incorporated in the problem through equality and bound constraints. This yields directly density functions of interest with minimum requirements needed. Within a simulation framework, it is demonstrated the robustness of proposed procedures. Additionally, RNDs are estimated through option prices associated with two indices, S&P500 and VIX. | URI: | https://hdl.handle.net/10316/87034 | Direitos: | openAccess |
Aparece nas coleções: | I&D CeBER - Working Papers |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
Working Paper.pdf | 1.45 MB | Adobe PDF | Ver/Abrir |
Visualizações de página
240
Visto em 1/out/2024
Downloads
135
Visto em 1/out/2024
Google ScholarTM
Verificar
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.