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Description Summary statistics of p values of the Kolmogorov–Smirnov test (ΔK=$1)
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Simulated bid–ask spread and price noise. The figure shows an example of the OTM option prices, and the corresponding simulated bid–ask spreads and price noises. OTM, out‐of‐money [Color figure can...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Fitting performance
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SVJJ process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJJ model. The red line in each box represents the median p value; each...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SVJ‐Y‐V process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJ‐Y‐V model. The red line in each box represents the median p...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Fitted parameter values for general affine jump diffusions
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Methods for option‐implied risk‐neutral distributions
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SVJ‐Y process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJ‐Y model. The red line in each box represents the median p value;...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SV process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SV model. The red line in each box represents the median p value; each box...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Kolmogorov–Smirnov p values of the SVJ‐V process (ΔK=$1). The figure shows the box plot of Kolmogorov–Smirnov p values of the SVJ‐V model. The red line in each box represents the median p value;...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description RND estimates of the SV model. The figure shows RND estimates from a single round of Monte Carlo simulation under the SV model. True RNDs (solid line) are generated by the SV model with parameter...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description RNDs of the affine jump‐diffusion models. The figure shows RNDs of the affine jump‐diffusion models. These RNDs are generated by affine jump‐diffusion models by plugging the parameter estimates...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Pricing bias across moneyness. The figure shows the pricing bias of the affine jump‐diffusion models and estimation methods for RND across the moneyness. CS, cubic smoothing; GB2, generalized beta...
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Changes in the Kolmogorov–Smirnov p values
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets -
Description Average number of option strikes per cross section
Article Title: Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Publication Title: Journal of Futures Markets