𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A semiparametric estimation of liquidity effects on option pricing

✍ Scribed by Eva Ferreira; Mónica Gago; Gonzalo Rubio


Book ID
106276373
Publisher
Springer
Year
2003
Tongue
English
Weight
258 KB
Volume
5
Category
Article
ISSN
1435-5469

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Semiparametric estimation of a hedonic p
✍ Paul M. Anglin; Ramazan Gençay 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 909 KB

Previous work on the preferred specification of hedonic price models usually recommended a Box-Cox model. In this paper we note that any parametric model involves implicit restrictions and they can be reduced by using a semiparametric model. We estimate a benchmark parametric model which passes seve

Estimating Implied PDFs From American Op
✍ Dimitris Flamouris; Daniel Giamouridis 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 217 KB

## Abstract This article develops a new methodology for estimating implied probability density functions for futures prices from American options. The restricting Black–Scholes assumption of a lognormal distribution for the underlying asset is relaxed with the use of the more flexible distributiona

The impact of liquidity on option prices
✍ Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 148 KB

This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p

On the theory of option pricing
✍ A. Bensoussan 📂 Article 📅 1984 🏛 Springer Netherlands 🌐 English ⚖ 714 KB

The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio