Nonlinear Regression for an Asymptotic Option PriceNonlinear Regression for an Asymptotic Option Price
- Other Titles
- Nonlinear Regression for an Asymptotic Option Price
- Authors
- 송성주; 송종우
- Issue Date
- 2008
- Publisher
- 한국통계학회
- Keywords
- Option pricing; compound Poisson; asymptotic expansion; nonlinear regression
- Citation
- 응용통계연구, v.21, no.5, pp.755 - 763
- Indexed
- KCI
- Journal Title
- 응용통계연구
- Volume
- 21
- Number
- 5
- Start Page
- 755
- End Page
- 763
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/125289
- ISSN
- 1225-066X
- Abstract
- This paper approaches the problem of option pricing in an incomplete market, where the underlying asset price process follows a compound Poisson model. We assume that the price process follows a compound Poisson model under an equivalent martingale measure and it converges weakly to the Black-Scholes model. First, we express the option price as the expectation of the discounted payoff and expand it at the Black-Scholes price to obtain a pricing formula with three unknown parameters. Then we estimate those parameters using the market option data. This method can use the option data on the same stock with different expiration dates and different strike prices.
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Collections - College of Political Science & Economics > Department of Statistics > 1. Journal Articles
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