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CeBER WP No. 2019-02

26 março
Estudo na Biblioteca
Estudo na Biblioteca
© FEUC – Jorge Graça

Encontra-se publicado o Working Paper n.º 2019-02 do CeBER intitulado “Kernel density estimation using local cubic polynomials through option prices applied to intraday data”.

Os autores são Ana Margarida Monteiro e António Alberto Ferreira Santos, professores na Faculdade de Economia da Universidade de Coimbra e investigadores do CeBER - Centre for Business and Economics Research e GEMF - Grupo de Estudos Monetarios e Financeiros.

Abstract:
A new approach is considered to estimate risk-neutral densities (RND) within a kernel regression framework, through local cubic polynomial estimation using intraday data. There is a new strategy for the definition of a criterion function used in nonparametric regression that includes calls, puts, and weights in the optimization problem associated with parameters estimation. No-arbitrage restrictions are incorporated in the problem through equality and bound constraints. This yields directly density functions of interest with minimum requirements needed. Within a simulation framework, it is demonstrated the robustness of proposed procedures. Additionally, RNDs are estimated through option prices associated with two indices, S&P500 and VIX.

Keywords: kernel functions, Local polynomials, No-arbitrage constraints, Option prices, Risk-neutral density

JEL Classification: C14, C15, C61, G13.

Poderá efetuar o Download do Working Paper em: http://www.uc.pt/en/uid/ceber/WorkingPapers/wp/wp_2019/wp_02