Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 曹杰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.21314/JOR.2017.357 出版商提供的全文 http://www.risk.net/journal-of-risk/5275541/on-empirical-likelihood-option-pricing |
其它资讯
摘要The Black–Scholes model is the golden standard for pricing derivatives and options in the modern financial industry. However, this method imposes some parametric assumptions on the stochastic process, and its performance becomes doubtful when these assumptions are violated. This paper investigates the application of a nonparametric method, namely the empirical likelihood (EL) method, in the study of option pricing. A blockwise EL procedure is proposed to deal with dependence in the data. Simulation and real data studies show that this new method performs reasonably well and, more importantly, outperforms classical models developed to account for jumps and stochastic volatility, thanks to the fact that nonparametric methods capture information about higher-order moments.
着者CAO Jie, JIN Yong, ZHENG Wei, ZHONG Xiaolong
期刊名称The Journal of Risk
出版年份2017
月份6
卷号19
期次5
出版社Incisive Risk Information Limited
页次41 - 53
国际标準期刊号1465-1211
电子国际标準期刊号1755-2842
语言英式英语
