Asymptotic option pricing under pure-jump Levy processes via nonlinear regression
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Song, Seongjoo | - |
dc.contributor.author | Jeong, Jaehong | - |
dc.contributor.author | Song, Jongwoo | - |
dc.date.accessioned | 2021-09-07T11:44:06Z | - |
dc.date.available | 2021-09-07T11:44:06Z | - |
dc.date.created | 2021-06-14 | - |
dc.date.issued | 2011-06 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/112267 | - |
dc.description.abstract | When the underlying asset price process follows a Levy process, the market becomes incomplete, in which the option pricing can be a complicated problem. This paper proposes a method of asymptotic option pricing when the underlying asset price process follows a pure-jump Levy process. We express the option price as the expected value of the discounted payoff and expand it at the Black-Scholes price assuming that the price process converges weakly to the Black-Scholes model. The price can be approximated by a formula with 4 parameters, which can easily be estimated using option prices observed in the market. The proposed price explains the market option data better than the Black-Scholes price in real data application with KOSPI 200. (C) 2010 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.subject | NONPARAMETRIC-ESTIMATION | - |
dc.subject | ASSET RETURNS | - |
dc.subject | MODELS | - |
dc.title | Asymptotic option pricing under pure-jump Levy processes via nonlinear regression | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Song, Seongjoo | - |
dc.identifier.doi | 10.1016/j.jkss.2010.10.001 | - |
dc.identifier.scopusid | 2-s2.0-79954568208 | - |
dc.identifier.wosid | 000290823000013 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.40, no.2, pp.227 - 238 | - |
dc.relation.isPartOf | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 40 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 227 | - |
dc.citation.endPage | 238 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001567857 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | NONPARAMETRIC-ESTIMATION | - |
dc.subject.keywordPlus | ASSET RETURNS | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordAuthor | Option pricing | - |
dc.subject.keywordAuthor | Levy process | - |
dc.subject.keywordAuthor | Nonlinear regression | - |
dc.subject.keywordAuthor | Asymptotic expansion | - |
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