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Please use this identifier to cite or link to this item:http://hdl.handle.net/10281/35063
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| Authors: | Kenmoe Siyou, RN |
| Title: | NonParametric Estimation Of Diffusion Coefficient: An Empirical Evidence using Option Pricing on S&P 500 |
| DCMI: | Working paper del dipartimento |
| English abstract: | In this paper, we discuss the estimation of the di usion coe cient of an Itô process fromhigh-frequency data using a nonparametric approach by Nadayara-Watson estimator. The
principal purpose is to estimate the di usion coe cient using selective estimators of spot volatility proposed by several authors, which are based on the observed trajectories. In general,
statistical and econometrical criteria are used for comparing spot volatility estimators used in nonparametric estimators. We want to resort to merely nancial metrics to achieve the
same task. More precisely, the accuracy of di erent spot volatility estimates is measured in terms of how accurately they can reproduce market option prices. The model is implemented
using S&P 500 data, and successively, we used it to estimate european call option prices
written on the S&P 500 index. The estimation results are compared to well-known parametric
alternative available in the literature. Empirical results not only provide strong evidence that
most traditional pricing model are mispeci ed, but also con rm that the nonparametric model
generates signi cantly di erent prices of common derivatives. |
| Keywords: | Nonparametric,Options Pricing, Quantitative finance,PDE |
| MIUR Subject : | Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz. |
| ISO Language : | eng |
| Issue Date: | Jul-2012 |
| Format: | A stampa |
| Circulation: | Rilevanza internazionale |
| Citation: | Kenmoe Siyou, R.N. (2012). NonParametric Estimation Of Diffusion Coefficient: An Empirical Evidence using Option Pricing on S&P 500 [Working paper del dipartimento]. |
| Appears in Collections: | Pubblicazioni >99 - Altro
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Files in This Item:
| File |
Description |
Size | Format | Accessibility |
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| Rapporto_231.pdf | Working paper | 398.71 kB | Adobe PDF | View/Open
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