Designing and Applying a Nonparametric Option Valuation Model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F16%3A00242410" target="_blank" >RIV/68407700:21630/16:00242410 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5817/FAI2016-1-3" target="_blank" >http://dx.doi.org/10.5817/FAI2016-1-3</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5817/FAI2016-1-3" target="_blank" >10.5817/FAI2016-1-3</a>

Result language
angličtina
Original language name
Designing and Applying a Nonparametric Option Valuation Model
Original language description
This paper derives, tests and discusses a comprehensive and easy to use nonparametric option-valuation model, using a representative set of historical data on underlying asset returns jointly with an assumption of minimalistic implied information on current market trend and volatility expectations. Its testing on empirical data from Warsaw Stock Exchange trading for two distinct periods of 2014 suggests that such distribution-free models are capable of delivering useful market insights as well as applicability features, in particular wherever derivative markets are relatively new, incomplete, illiquid, or with regard to the valuation of real options.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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