Project Details
Abstract
In the literature, the information implied in options, or more generally, derivatives, has
paid much attention during last decade. In this subproject, we concentrate ourselves on
deriving the distribution of the asset return and on its applications to empirical finance. Thus,
this research proposal attempts to reach three goals. The first is to construct the
nonparametric risk-neutral and physical probability density functions by using the
information obtained from both the stock prices and the option prices in the market. The
second is to extend the first goal by using the options with multiple underlying assets to
obtain their joint conditional risk-neutral and physical probability density functions. The
third is to examine the information effect of the option market to some financial issues, such
as the relationship between stochastic properties of the asset return and the investors』
behavior, arbitrage possibility, and value-at-risk evaluation, et al., by using the implied
probability functions obtained in the first and second goals.
Project IDs
Project ID:PF9706-0185
External Project ID:NSC95-2416-H182-005-MY3
External Project ID:NSC95-2416-H182-005-MY3
Status | Finished |
---|---|
Effective start/end date | 01/08/08 → 31/07/09 |
Fingerprint
Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.