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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • 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

  • 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