Alternative methods to estimate the State Price Density

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095995" target="_blank" >RIV/61989100:27510/15:86095995 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Alternative methods to estimate the State Price Density
Original language description
In this paper, we propose different approaches to estimate the state price density under the classical hypothesis of the Black and Scholes model. In particular, we use the nonparametric approaches based on kernel and on the conditional expectation estimators. Firstly, we examine the real mean return function using local polynomial smoothing technique. Then, we evaluate the conditional expectation using the real probability density. According the hypothesis of the Black and Scholes model, we are able toderive a closed formula for approximating the conditional expectation with the risk neutral probability. 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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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

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematics and Computers in Sciences and in Industry : Second international konference : proceedings : August 17-19, 2015, Sliema, Malta
ISBN
978-1-4799-8673-6
ISSN
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e-ISSN
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Number of pages
3
Pages from-to
244-246
Publisher name
IEEE
Place of publication
Vienna
Event location
Sliema
Event date
Aug 17, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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