A non-parametric option pricing model: Theory and empirical evidence

Ren Raw Chen; Oded Palmon

doi:10.1007/s11156-005-6333-2

A non-parametric option pricing model: Theory and empirical evidence

Ren Raw Chen^*
, Oded Palmon

^*此作品的通信作者

Rutgers - The State University of New Jersey, New Brunswick

研究成果: 期刊稿件 › 文章 › 同行評審

7 引文斯高帕斯（Scopus）

摘要

In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options. Given the fact that the model is derived under the real measure, an equilibrium asset pricing model, instead of no-arbitrage, must be assumed. Using the histogram of past S&P 500 index returns, we find that most of the volatility smile documented in the literature disappears.

原文	英語
頁（從 - 到）	115-134
頁數	20
期刊	Review of Quantitative Finance and Accounting
卷	24
發行號	2
DOIs	https://doi.org/10.1007/s11156-005-6333-2
出版狀態	已出版 - 03 2005
對外發佈	是

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title = "A non-parametric option pricing model: Theory and empirical evidence",

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AB - In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options. Given the fact that the model is derived under the real measure, an equilibrium asset pricing model, instead of no-arbitrage, must be assumed. Using the histogram of past S&P 500 index returns, we find that most of the volatility smile documented in the literature disappears.

KW - Implied volatility

KW - Nonparametric model

KW - Options

KW - Volatility smile

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A non-parametric option pricing model: Theory and empirical evidence

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