Extended Nonparametric American Option Pricing PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Extended Nonparametric American Option Pricing PDF full book. Access full book title Extended Nonparametric American Option Pricing by Jamie Alcock. Download full books in PDF and EPUB format.
Author: Jamie Alcock Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
A nonparametric method of pricing American options was recently developed that requires only historical underlying price data (Alcock and Carmichael, 2008). We derive an extension to this method to include conditioning information from a small number of observed option prices. This additional information improves the overall accuracy of the method and enables pricing of illiquid options in an incomplete market. We explore the statistical properties of both the original method and our extension using a series of simulation studies. The original method slightly outperforms Black-Scholes estimators and numerical estimators (Crank-Nicholson) that use historical volatility. In contrast, the extended method presented here produces significant reductions in mean pricing errors. These reductions are most dramatic for out-of-the-money options; a result that is consistent with empirical results for related entropic methodologies for pricing European options.
Author: Jamie Alcock Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
A nonparametric method of pricing American options was recently developed that requires only historical underlying price data (Alcock and Carmichael, 2008). We derive an extension to this method to include conditioning information from a small number of observed option prices. This additional information improves the overall accuracy of the method and enables pricing of illiquid options in an incomplete market. We explore the statistical properties of both the original method and our extension using a series of simulation studies. The original method slightly outperforms Black-Scholes estimators and numerical estimators (Crank-Nicholson) that use historical volatility. In contrast, the extended method presented here produces significant reductions in mean pricing errors. These reductions are most dramatic for out-of-the-money options; a result that is consistent with empirical results for related entropic methodologies for pricing European options.
Author: Jamie Alcock Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
Haley & Walker (2010) suggest that their use of Cressie-Read family within Stutzer's (1996) non-parametric method for valuing European option might be extended to Alcock & Carmichael's (2008) non-parametric valuation of American options. We derive this suite of non-parametric methods to price and hedge American-style options. We test their efficacy using a large sample of traded American style options struck on the S&P100 index. We find that in general, the suite of non-parametric valuation schemes generate more accurate price estimates than traditional parametric schemes, especially for longer-dated options.
Author: Jamie Alcock Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We introduce a nonparametric method to accurately price American style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. We test the accuracy of this method in a controlled experimental environment under both Black amp; Scholes (1973) and Heston (1993) assumptions and perform an error-metric analysis. These numerical experiments demonstrate that this method is an accurate and precise method of pricing American options under a variety of market conditions.
Author: Jamie Alcock
Author: Jamie Alcock
Author: Jamie Alcock
Author: Jamie Alcock
Author: Huei-Wen Teng
Author: Wentao Yan
Author: 
Author: 
Author: Manuel Expósito Langa
Author: Bou-Wen Lin
Author: CIRANO.