Nonparametric estimation of state price densities implicit in financial asset prices:
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1995
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5351 |
| Schlagworte: | |
| Zusammenfassung: | Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more complex, or less liquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform Monte Carlo simulation experiments to show that the SPD estimator can be successfully extracted from option prices and we present an empirical application using S&P 500 index options. |
| Beschreibung: | 36, [13] S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5351 | |
| 520 | |a Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more complex, or less liquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform Monte Carlo simulation experiments to show that the SPD estimator can be successfully extracted from option prices and we present an empirical application using S&P 500 index options. | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Capital assets pricing model | |
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| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5351 |w (DE-604)BV002801238 |9 5351 | |
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| id | DE-604.BV010640878 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:56:26Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007099565 |
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| physical | 36, [13] S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser aut Nonparametric estimation of state price densities implicit in financial asset prices Yacine Aït-Sahalia ; Andrew W. Lo Cambridge, Mass. 1995 36, [13] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5351 Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more complex, or less liquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform Monte Carlo simulation experiments to show that the SPD estimator can be successfully extracted from option prices and we present an empirical application using S&P 500 index options. Ökonometrisches Modell Capital assets pricing model Investments Econometric models Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5351 (DE-604)BV002801238 5351 |
| spellingShingle | Aït-Sahalia, Yacine Lo, Andrew W. 1960- Nonparametric estimation of state price densities implicit in financial asset prices National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Capital assets pricing model Investments Econometric models |
| title | Nonparametric estimation of state price densities implicit in financial asset prices |
| title_auth | Nonparametric estimation of state price densities implicit in financial asset prices |
| title_exact_search | Nonparametric estimation of state price densities implicit in financial asset prices |
| title_full | Nonparametric estimation of state price densities implicit in financial asset prices Yacine Aït-Sahalia ; Andrew W. Lo |
| title_fullStr | Nonparametric estimation of state price densities implicit in financial asset prices Yacine Aït-Sahalia ; Andrew W. Lo |
| title_full_unstemmed | Nonparametric estimation of state price densities implicit in financial asset prices Yacine Aït-Sahalia ; Andrew W. Lo |
| title_short | Nonparametric estimation of state price densities implicit in financial asset prices |
| title_sort | nonparametric estimation of state price densities implicit in financial asset prices |
| topic | Ökonometrisches Modell Capital assets pricing model Investments Econometric models |
| topic_facet | Ökonometrisches Modell Capital assets pricing model Investments Econometric models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine nonparametricestimationofstatepricedensitiesimplicitinfinancialassetprices AT loandreww nonparametricestimationofstatepricedensitiesimplicitinfinancialassetprices |