On the estimation of the state price density
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094785" target="_blank" >RIV/61989100:27510/15:86094785 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On the estimation of the state price density
Original language description
In this paper we compare alternative methods to estimate the state price density under the classical hypothesis of the Black and Scholes model. In particular, we examine different methodologies to evaluate the conditional expectation and its relationship with the state price density under the hypothesis of the Black Scholes model. Thus, using this relationship we are able to evaluate the state price density of several assets. Finally, we propose a comparison among two estimators of the state price density.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics, MME 2015 : 33rd international conference : conference proceedings : Cheb, Czech Republic, September 9-11, 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
389-394
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000387898900067