The implied probability density of an asset price from option prices = 옵션 가격에 내재된 기초 자산의 확률밀도함수

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While the option implied distribution obtained by the maximum entropy method is quite efficient, it has a drawback that the distribution may not exist in exotic options. Therefore we propose a modified option implied distribution and apply to binary options, European options and multi-asset options. Also we suggest a method that find the Lagrange multipliers sequentially without finding the Jacobian matrix. Furthermore the maximum entropy method which is one of non-parametric methods is used to estimate the probability of default. From binary option prices as the constraints, we explicitly find it while Capuano(2008) suggests numerical computation from European call option prices.
Advisors
Choe, Geon-Horesearcher최건호researcher
Description
한국과학기술원 : 수리과학과,
Publisher
한국과학기술원
Issue Date
2010
Identifier
418693/325007  / 020055135
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2010.2, [ vi, 50 p. ]

Keywords

Probability of Default; Lagrange Multiplier Method; Exotic Option; Estimation of Risk-Neutral Density; Maximum Entropy; 부도 확률; 라그랑즈 승수법; 이색 옵션; 위험 중립 확률 추정; 최대 엔트로피

URI
http://hdl.handle.net/10203/41930
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=418693&flag=dissertation
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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