Estimating probability distributions implicit in option prices:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2001
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | II, 83 S. graph. Darst. |
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MARC
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| 245 | 1 | 0 | |a Estimating probability distributions implicit in option prices |c vorgelegt von Michael A. Ball |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface 1
1 Estimation of Risk Neutral Probabilities 4
1.1 Principles of Probability Estimation 5
1.1.1 Models for Probability Estimation 5
1.1.2 Interpolation and Extrapolation of Option Prices 9
1.1.3 Implied Stochastic Processes 10
1.2 Methods for Probability Estimation 12
1.2.1 Shimko (1993) Method 12
1.2.2 Rubinstein (1994) Method 14
1.2.3 Derman and Kani (1994) Method 16
1.2.4 Other Estimation Methods and Extensions 19
1.3 Evaluation of the Methods 22
2 Derivation of Physical Probabilities 25
2.1 Equilibrium Valuation 26
2.1.1 General Equilibrium Valuation Condition 26
2.1.2 Representative Investor Equilibrium Valuation 27
2.2 Physical Probabilities in Equilibrium 32
2.2.1 Conversion of Risk Neutral Probabilities 33
2.2.2 Direct Estimation of Physical Probabilities 36
2.2.3 Physical Probabilities in the Black Scholes Model 40
3 Empirical Analysis 42
3.1 Empirical Methodology 44
3.1.1 Comparing the Estimation Methods 45
3.1.2 Estimation of Implicit Distributions 47
3.1.3 Time Series Estimation of Distributions 49
3.2 Description of the Data 52
3.2.1 Selection of the Sample 52
3.2.2 Option Quotes 53
3.2.3 Underlying and Dividends 55
3.2.4 Risk free Interest Rate 57
ii CONTENTS
3.3 Empirical Results 58
3.3.1 Comparing the Goodness of Fit 58
3.3.2 Estimation with Different Prior Guess 62
3.3.3 Estimation with Constant Utility Function 64
3.3.4 Simulating the GARCH Model 66
4 Refinements to Implied Probability Estimation 69
4.1 Intertemporal Interpolation 69
4.1.1 Principles of Intertemporal Interpolation 69
4.1.2 Interpolation with a Stochastic Process 70
4.2 Distributions of a Single Stock 71
4.2.1 Definition of the State Space 71
4.2.2 Estimation of a Bivariate Distribution 73
4.2.3 An Example Distribution 76
Concluding Remarks 79
References 81
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| any_adam_object | 1 |
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| bvnumber | BV013696990 |
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T18:50:25Z |
| institution | BVB |
| language | English |
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| physical | II, 83 S. graph. Darst. |
| publishDate | 2001 |
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| spelling | Ball, Michael A. Verfasser aut Estimating probability distributions implicit in option prices vorgelegt von Michael A. Ball 2001 II, 83 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2000 Hochschulschrift gtt Optionspreis (DE-588)4115453-8 gnd rswk-swf Schätzung (DE-588)4193791-0 gnd rswk-swf Risikoverteilung (DE-588)4138417-9 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreis (DE-588)4115453-8 s Wahrscheinlichkeitsverteilung (DE-588)4121894-2 s DE-604 Optionspreistheorie (DE-588)4135346-8 s Schätzung (DE-588)4193791-0 s Risikoverteilung (DE-588)4138417-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009360104&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ball, Michael A. Estimating probability distributions implicit in option prices Hochschulschrift gtt Optionspreis (DE-588)4115453-8 gnd Schätzung (DE-588)4193791-0 gnd Risikoverteilung (DE-588)4138417-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd |
| subject_GND | (DE-588)4115453-8 (DE-588)4193791-0 (DE-588)4138417-9 (DE-588)4135346-8 (DE-588)4121894-2 (DE-588)4113937-9 |
| title | Estimating probability distributions implicit in option prices |
| title_auth | Estimating probability distributions implicit in option prices |
| title_exact_search | Estimating probability distributions implicit in option prices |
| title_full | Estimating probability distributions implicit in option prices vorgelegt von Michael A. Ball |
| title_fullStr | Estimating probability distributions implicit in option prices vorgelegt von Michael A. Ball |
| title_full_unstemmed | Estimating probability distributions implicit in option prices vorgelegt von Michael A. Ball |
| title_short | Estimating probability distributions implicit in option prices |
| title_sort | estimating probability distributions implicit in option prices |
| topic | Hochschulschrift gtt Optionspreis (DE-588)4115453-8 gnd Schätzung (DE-588)4193791-0 gnd Risikoverteilung (DE-588)4138417-9 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wahrscheinlichkeitsverteilung (DE-588)4121894-2 gnd |
| topic_facet | Hochschulschrift Optionspreis Schätzung Risikoverteilung Optionspreistheorie Wahrscheinlichkeitsverteilung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009360104&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT ballmichaela estimatingprobabilitydistributionsimplicitinoptionprices |