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Call Option Valuation For Discrete Normal Mixtures

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  1. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  2. Pan, Ming-Shiun & Chan, Kam C. & Fok, Chi-Wing, 1995. "The distribution of currency futures price changes: A two-piece mixture of normals approach," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 69-78.
  3. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April.
  4. Healy, J.V. & Gregoriou, A. & Hudson, R., 2018. "Test of recent advances in extracting information from option prices," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 292-302.
  5. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
  6. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
  7. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," Documentos de Trabajo CIEF 15923, Universidad EAFIT.
  8. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
  9. Gianluca Cassese, 2015. "Non Parametric Estimates of Option Prices Using Superhedging," Papers 1502.03978, arXiv.org.
  10. Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008. "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 33-52, May.
  11. Hentati Rania & Prigent Jean-Luc, 2011. "On the maximization of financial performance measures within mixture models," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 63-80, March.
  12. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
  13. Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 637-648.
  14. Shan Lu, 2019. "Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1587-1612, December.
  15. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
  16. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  17. Paul Söderlind, 2010. "Reaction of Swiss Term Premia to Monetary Policy Surprises," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 385-404, March.
  18. Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
  19. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  20. Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
  21. Carol Alexandra & Emese Lazar, 2005. "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance icma-dp2004-09, Henley Business School, University of Reading, revised Jul 2004.
  22. Stöckl, Sebastian & Rode, Martin, 2021. "The price of populism: Financial market outcomes of populist electoral success," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 51-83.
  23. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
  24. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
  25. Shi-jie Jiang & Mujun Lei & Cheng-Huang Chung, 2018. "An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
  26. Maria Kyriacou & Jose Olmo & Marius Strittmatter, 2021. "Optimal portfolio allocation using option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 266-285, February.
  27. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  28. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  29. Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018. "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, vol. 24(C), pages 221-229.
  30. Nicole Branger & Michael Hanke & Alex Weissensteiner, 2024. "The information content of wheat derivatives regarding the Ukrainian war," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 420-431, March.
  31. Markose, Sheri M & Alentorn, Amadeo, 2005. "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers 3726, University of Essex, Department of Economics.
  32. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  33. Healy, Jerome V. & Dixon, Maurice & Read, Brian J. & Cai, Fang Fang, 2007. "Non-parametric extraction of implied asset price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 121-128.
  34. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
  35. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
  36. Carol Alexander & Sujit Narayanan, 2001. "Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility," ICMA Centre Discussion Papers in Finance icma-dp2001-10, Henley Business School, University of Reading, revised Dec 2001.
  37. Shushi, Tomer, 2019. "A note on the coefficients of elliptical random variables," Statistics & Probability Letters, Elsevier, vol. 152(C), pages 153-155.
  38. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
  39. Marcos Massaki Abe & Eui Jung Chang & Benjamin Miranda Tabak, 2007. "Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(1), pages 29-39.
  40. Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance 1614, University of St. Gallen, School of Finance.
  41. Xin Liu, 2016. "Asset Pricing with Random Volatility," Papers 1610.01450, arXiv.org, revised Sep 2018.
  42. Roberts, Matthew C., 1999. "Mixture Distributions: Curing Commodity Kurtosis?," 1999 Annual meeting, August 8-11, Nashville, TN 21604, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  43. Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
  44. Andersson, Magnus & Lomakka, Magnus, 2003. "Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques," Working Paper Series 146, Sveriges Riksbank (Central Bank of Sweden).
  45. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  46. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  47. J. A. Jiménez & V. Arunachalam & G. M. Serna, 2015. "Option Pricing Based On A Log–Skew–Normal Mixture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-22, December.
  48. Hodoshima, Jiro & Yamawake, Toshiyuki, 2019. "Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility," Finance Research Letters, Elsevier, vol. 28(C), pages 74-81.
  49. Guo, Chen, 1998. "Option pricing with stochastic volatility following a finite Markov Chain," International Review of Economics & Finance, Elsevier, vol. 7(4), pages 407-415.
  50. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  51. Andersson, Magnus & Lomakka, Magnus, 2005. "Evaluating implied RNDs by some new confidence interval estimation techniques," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1535-1557, June.
  52. Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
  53. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
  54. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June.
  55. Boes, M.J., 2006. "Index options : Pricing, implied densities and returns," Other publications TiSEM e9ed8a9f-2472-430a-b666-9, Tilburg University, School of Economics and Management.
  56. Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  57. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 335-365, September.
  58. Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar, 2019. "Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 705-728, August.
  59. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  60. Su, EnDer & Wen Wong, Kai, 2019. "Testing the alternative two-state options pricing models: An empirical analysis on TXO," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 101-116.
  61. Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.
  62. Fima C. Klebaner & Zinoviy Landsman, 2009. "Option Pricing for Log-Symmetric Distributions of Returns," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 339-357, September.
  63. José L. Vilar-Zanón & Olivia Peraita-Ezcurra, 2019. "A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 259-276, June.
  64. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  65. Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.
  66. Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang, 2018. "A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps," Papers 1808.05289, arXiv.org, revised Feb 2019.
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