Haven, Emmanuel
[VerfasserIn]
;
Liu, Xiaoquan
[Sonstige Person, Familie und Körperschaft];
Ma, Chenghu
[Sonstige Person, Familie und Körperschaft];
Shen, Liya
[Sonstige Person, Familie und Körperschaft]
Revealing the Implied Risk-Neutral MGF with the Wavelet Method
Anmerkungen:
In: Journal of Economic Dynamics and Control, Vol. 33, 2008
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 26, 2007 erstellt
Beschreibung:
Options are believed to contain unique information about the risk-neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper applies the wavelet method to approximate the risk-neutral MGF of the underlying asset from option prices. Monte Carlo simulation experiments are performed to elaborate how the risk-neutral MGF can be obtained using the wavelet method. The Black-Scholes model is chosen as the benchmark model. We offer a novel method for obtaining the implied risk-neutral MGF for pricing out-of-sample options and other complex or illiquid derivative claims on the underlying asset using information obtained from simulated data