Sommaire : 1. Introduction and overview
2. Pricing kernels, risk-neutral probabilities, and option pricing
2.1. Equivalent martingale measure and volatility smile
2.3. Stochastic discount factors and pricing kernels
2.4. Black-Scholes-implied volatility as a calibrated parameter
2.5. Black-Scholes-implied volatility as an expected average volatility
2.6. Generalized Black-Scholes option pricing formula
3. Modeling asset price dynamics via diffusions for the purpose of option pricing
3.1. The affine jump-diffusion class models
3.1.1. Models with a single volatility factor
3.1.2. Multiple volatility factors
3.2. Other continuous-time processes
3.2.1. Nonaffine index models
3.2.2. Lévy processes and time deformation
3.2.3. Long-memory in continuous time
3.3. Pricing options based on objective parameters
4. Implied risk-neutral probabilities
4.1. Econometric model of option pricing errors
4.2. Maximum likelihood-based inference
4.3. Implied-state GMM
4.4. Joint estimation of risk-neutral and objective distributions
5. Nonparametric approaches
5.1. Semiparametric approaches o derivative pricing
5.2. Canonical valuation and implied binomial trees
5.2.1. Canonical valuation
5.2.2. Implied binomial trees
5.2.1. Canonical valuation
5.2.2. Implied binomial trees
5.2.3. A SDF alternative to implied binomial trees
5.3. Comparing the unconditional and conditional methodologies for extracting risk-neutral distributions
5.4. Comparing the unconditional and conditional methodologies for extracting risk-neutral distributions
5.4. Extended method of moments
5.5. Other SNP estimators
5.6. An economic application of nonparametric methods : Extraction of preferences
6. Conclusion

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Professeur EDHEC : Oui

Propriétaire : Bibliothèque