SV mixture models with application to S&P 500 index returns
β Scribed by Garland B. Durham
- Book ID
- 113710951
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 670 KB
- Volume
- 85
- Category
- Article
- ISSN
- 0304-405X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This paper presents a simple empirical approach to modeling and forecasting market option prices using localized option regressions (LOR). LOR projects market option prices over localized regions of their state space and is robust to assumptions regarding the underlying asset dynamics (
The universal use of the Black and Scholes option pricing model to value a wide range of option contracts partly accounts for the almost systematic use of Gaussian distributions in finance. Empirical studies, however, suggest that there is an information content beyond the second moment of the distr