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.
Extended Nonparametric American Option Pricing
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.
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.
Non-Parametric American Option Valuation Using Cressie-Read Divergences
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.
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.
Nonparametric American Option Pricing
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.
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.
Bayesian Nonparametric Approaches for Financial Option Pricing
Model-guided Nonparametric Option Pricing
Nonparametric estimation of American options, exercise boundaries and call prices
A Nonparametric Method for Pricing and Hedging American Options
Nonparametric option pricing under shape restrictions
Author: Manuel Expósito Langa
Publisher:
ISBN:
Category :
Languages : es
Pages : 37
Book Description
Publisher:
ISBN:
Category :
Languages : es
Pages : 37
Book Description
A Nonparametric Approach for Value-at-risk and Option Pricing
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
Author: CIRANO.
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 33
Book Description
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 33
Book Description