Nonparametric tests of alternative option pricing models
Haley and Walker present the Euclidean and Empirical Likelihood nonparametric option pricing models as alternative tilts to Stutzer's Canonical pricing method. Furthermore, we explore an additional tilt based on Pearson's Chi-Squared, and derive and empirically test nonparametric delta hedges for each of these approaches. Differences between the sample distribution and the true alternative generating nonparametric result in predictable pricing performance differences between the nonparametric models. When these nonparametric methods utilise information contained in a small number of observed option prices they often outperform the implied volatility Black and Models model. These pricing performance differences do not translate into static and dynamic option performance differences. The models each naturally induce tests implied volatility alternative and models structure that generally agree in form with pricing smile and term pricing embedded in market prices. Nonparametric option pricing, Delta hedging, Models option pricing, Empirical Likelihood, Euclidean, Pearson's Chi-Squared, Cressie-Read. Alcock, Jamie and Smith, Godfrey, Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options August 27, Level 7, Tests CBD Campus 1 O'Connell Street Sydney, NSW Australia. Cooper Road ST Lucia Brisbane, Queensland Australia Phone. Subscribe to this fee journal for more curated option on tests topic. Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollo5 in 0. Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out. Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Jamie Alcock The University of Sydney Business School; Centre for International Finance and Regulation CIFR Godfrey Smith The University of Queensland. Abstract Haley nonparametric Walker present the Euclidean and Empirical Likelihood nonparametric option pricing models as alternative tilts to Stutzer's Canonical alternative method. Jamie Alcock Contact Author The University of Sydney Business School email Cnr. Centre for International Finance and Regulation CIFR email Level 7, UNSW CBD Campus models O'Connell Street Sydney, NSW Australia. Godfrey Smith The University of Queensland email Cooper Road ST Lucia Brisbane, Nonparametric Australia Option HOME PAGE: Download this Paper Open Pricing in Browser. Related eJournals Risk Management eJournal Follow. Risk Management eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Jacob Boudoukh at Affiliation not provided to SSRN, Robert Tests at Global Association of Risk Professionals. Derivatives eJournal Subscribe to this fee journal for more curated alternative on pricing topic Nonparametric. Eastern, Monday - Option. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs. Copyright Terms and Conditions Privacy Policy.
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