A taxonomy of risk-neutral distribution methods: theory and implementation
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2003
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 133 S. graph. Darst. |
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Record in the Search Index
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| adam_text | A TAXONOMY OF RISK-NEUTRAL DISTRIBUTION METHODS: THEORY AND
IMPLEMENTATION DISSERTATION DER UNIVERSITAT ST. GALLEN, HOCHSCHULE FUR
WIRTSCHAFTS-, RECHTS- UND SOZIALWISSENSCHAFTEN (HSG) ZUR ERLANGUNG DER
WURDE EINES DOKTORS DER WIRTSCHAFTSWISSENSCHAFTEN VORGELEGT VON ALFRED
GRUBER AUS OSTERREICH GENEHMIGT AUF ANTRAG DER HERREN PROF. DR. ANDREAS
GRIINBICHLER UND PROF. DR. HEINZ ZIMMERMANN DISSERTATION NR. 2669
DIFO-DRUCK GMBH, BAMBERG 2003 CONTENTS 1 INTRODUCTION 1 1.1 MOTIVATION 1
1.2 STRUCTURE 3 1 THEORY 5 2 ASSET PRICING UNDER UNCERTAINTY 7 2.1
SECURITIES, PAYOFFS AND PORTFOLIOS 8 2.2 ABSENCE OF ARBITRAGE 9 2.3
STATE PRICES AND THE RISK-FREE INTEREST RATE 9 2.4 RISK-NEUTRAL
PROBABILITIES 10 2.5 OPTIONS AND ARBITRAGE 11 2.6 THE PRICING OF OPTIONS
AND FUTURES 12 2.7 LITERATURE REVIEW 13 3 THE BLACK-SCHOLES MODEL 17 3.1
LITERATURE REVIEW ON OPTION PRICING 18 3.2 ASSUMPTIONS OF THE
BLACK-SCHOLES MODEL 20 3.2.1 FRICTIONLESS MARKETS 20 3.2.2 GEOMETRIC
BROWNIAN MOTION 21 3.3 THE BLACK-SCHOLES MODEL 22 3.4 THE IMPLIED
VOLATILITY SMILE CURVE 23 3.4.1 THE VOLATILITY TERM STRUCTURE 24 3.4.2
REASONS FOR THE EXISTENCE OF THE VOLATILITY SMILE ... 26 3.4.3 THE
PREDICTION CONTENT OF THE IMPLIED VOLATILITY CURVE 27 VI ,,- CONTENTS 4
RISK-NEUTRAL DISTRIBUTIONS 29 4.1 RISK-NEUTRAL HISTOGRAMS 30 4.2
CONTINUOUS TIME RISK-NEUTRAL DISTRIBUTIONS 33 II EMPIRICAL EVIDENCE 35 5
FINANCIAL DERIVATIVES IN GERMANY 37 5.1 THE DEUTSCHE AKTIEN INDEX (DAX)
39 5.2 HISTORICAL SAMPLE STATISTICS 41 5.3 THE RISK-FREE INTEREST RATE
43 5.4 INDEX LEVEL 45 5.5 OPTIONS DATABASE 48 5.5.1 CALCULATION OF
SETTLEMENT PRICES AND NON-SYNCHRONICITY BIAS 49 5.5.2 RECORDING ERRORS
51 5.5.3 MARGIN REQUIREMENTS AND TRANSACTION COSTS 52 6 RISK-NEUTRAL
DISTRIBUTION METHODS 53 6.1 DIFFERENTIATION OF FITTED CALL PRICES 55
6.1.1 DIRECT DIFFERENTIATION OF CALL PRICES 55 6.1.2 INTERPOLATION OF
THE CALL PRICING FUNCTION 58 6.2 PARAMETRIC DISTRIBUTIONS 59 6.2.1
EXPANSION METHODS 59 6.2.2 GENERALIZED DISTRIBUTIONS 63 6.2.3 MIXTURE
METHODS 64 6.3 NON-PARAMETRIC METHODS 67 6.3.1 CURVE FITTING TECHNIQUES
67 6.3.2 KERNEL TECHNIQUES 71 6.4 IMPLIED BINOMIAL TREES 74 6.4.1
COX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD 74 6.4.2 ALTERNATIVE IMPLIED
BINOMIAL TREE METHODS 75 7 COMPARISON OF RISK-NEUTRAL DISTRIBUTIONS 77
7.1 LITERATURE REVIEW 78 7.2 SAMPLE VARIABLES 80 7.3 IMPLIED MOMENTS 81
7.3.1 MEAN AND STANDARD DEVIATION 82 7.3.2 SKEWNESS AND KURTOSIS 84
CONTENTS .. VII 7.4 PRICING PERFORMANCE 88 7.4.1 MEAN SQUARED ERROR 88
7.4.2 AVERAGE RELATIVE ERROR 91 8 APPLICATIONS OF RISK-NEUTRAL
DISTRIBUTIONS 95 8.1 LITERATURE REVIEW 96 8.2 PRICING OF REDUNDANT
SECURITIES 99 8.2.1 IMPLIED BINOMIAL TREES: RUBINSTEIN S APPROACH . . .
. 100 8.2.2 IMPLIED BINOMIAL TREES: DERMAN AND KANI S APPROACH 102 8.2.3
OPTION PRICING AND IMPLIED BINOMIAL TREES . . . . . . 106 8.2.4
VALUATION OF EXOTIC DERIVATIVES 107 9 CONCLUSION 113 A THE BLACK-SCHOLES
FORMULA 117 B THE LOG-NORMALITY ASSUMPTION OF THE BLACK-SCHOLES FOR-
MULA 119 BIBLIOGRAPHY 121
|
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| indexdate | 2024-07-09T19:13:32Z |
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| language | English |
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| physical | XIV, 133 S. graph. Darst. |
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| spelling | Gruber, Alfred Verfasser aut A taxonomy of risk-neutral distribution methods theory and implementation Alfred Gruber 2003 XIV, 133 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2002 Optiehandel gtt Risk management gtt Verdelingen (statistiek) gtt Black-Scholes-Modell (DE-588)4206283-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Entscheidung bei Risiko (DE-588)4225781-5 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Risikoverteilung (DE-588)4138417-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Bewertung (DE-588)4006340-9 s Entscheidung bei Risiko (DE-588)4225781-5 s Risikoverteilung (DE-588)4138417-9 s Black-Scholes-Modell (DE-588)4206283-4 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010303732&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gruber, Alfred A taxonomy of risk-neutral distribution methods theory and implementation Optiehandel gtt Risk management gtt Verdelingen (statistiek) gtt Black-Scholes-Modell (DE-588)4206283-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Entscheidung bei Risiko (DE-588)4225781-5 gnd Bewertung (DE-588)4006340-9 gnd Risikoverteilung (DE-588)4138417-9 gnd |
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| title | A taxonomy of risk-neutral distribution methods theory and implementation |
| title_auth | A taxonomy of risk-neutral distribution methods theory and implementation |
| title_exact_search | A taxonomy of risk-neutral distribution methods theory and implementation |
| title_full | A taxonomy of risk-neutral distribution methods theory and implementation Alfred Gruber |
| title_fullStr | A taxonomy of risk-neutral distribution methods theory and implementation Alfred Gruber |
| title_full_unstemmed | A taxonomy of risk-neutral distribution methods theory and implementation Alfred Gruber |
| title_short | A taxonomy of risk-neutral distribution methods |
| title_sort | a taxonomy of risk neutral distribution methods theory and implementation |
| title_sub | theory and implementation |
| topic | Optiehandel gtt Risk management gtt Verdelingen (statistiek) gtt Black-Scholes-Modell (DE-588)4206283-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Entscheidung bei Risiko (DE-588)4225781-5 gnd Bewertung (DE-588)4006340-9 gnd Risikoverteilung (DE-588)4138417-9 gnd |
| topic_facet | Optiehandel Risk management Verdelingen (statistiek) Black-Scholes-Modell Derivat Wertpapier Entscheidung bei Risiko Bewertung Risikoverteilung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010303732&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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