Non-Parametric Simulation-Based Option Pricing

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21220%2F14%3A00225323" target="_blank" >RIV/68407700:21220/14:00225323 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Non-Parametric Simulation-Based Option Pricing

Original language description

Using empirical data from the Warsaw Stock Exchange, this study investigates a particular distribution-free approach to option valuation based on an extensive historical data-set for the underlying asset prices and minimalistic implied information on current market expectations. Such non?parametric alternatives to conventional methods may be particularly useful wherever derivatives markets are new, incomplete, illiquid, or with regard to the valuation of real options.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

50206 - Finance

Project

<a href="/en/project/7E12084" target="_blank" >7E12084: Sustainable HydrothermaI Manufacturing of Nanomaterials</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Managing and Modelling of Financial Risks

ISBN

978-80-248-3631-7

ISSN

—

e-ISSN

—

Number of pages

8

Pages from-to

858-865

Publisher name

VŠB-TUO

Place of publication

Ostrava

Event location

Ostrava

Event date

Sep 8, 2014

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000350605800109