DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Byung Jin | ko |
dc.contributor.author | Kim, Tong Suk | ko |
dc.date.accessioned | 2013-03-06T21:01:55Z | - |
dc.date.available | 2013-03-06T21:01:55Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2008-03 | - |
dc.identifier.citation | 金融工學硏究, v.7, no.1, pp.171 - 206 | - |
dc.identifier.issn | 1738-124X | - |
dc.identifier.uri | http://hdl.handle.net/10203/88445 | - |
dc.description.abstract | To assess the stability of probability density functions (PDFs) implied by option prices, we develop and apply alternative measures other than distributional characteristics. Our alternative measures are related to the stability of empirical results in the applications of implied PDFs such as pricing thinly traded options and recovering the risk aversion of investors. Using the KOSPI 200 index options in the Korean market, we compare the performance between the double lognormal approximating function (DLN) method and the smoothed implied volatility smile (SMIV) method which are most widely used for estimating implied PDFs. Our empirical results show that while the SMIV method can produce a PDF with more stable summary statistics as in most previous researches, it cannot outperform the DLN method in terms of other measures. The sensitivity analysis by using the randomly perturbed prices increases the validity of our findings. | - |
dc.language | Korean | - |
dc.publisher | 한국금융공학회 | - |
dc.title | Alternative Measures to Test the Stability of Implied Probability Density Functions | - |
dc.title.alternative | 옵션 내재확률분포함수의 안정성 검증을 위한 대안척도 | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 7 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 171 | - |
dc.citation.endingpage | 206 | - |
dc.citation.publicationname | 金融工學硏究 | - |
dc.identifier.kciid | ART001230700 | - |
dc.contributor.localauthor | Kim, Tong Suk | - |
dc.contributor.nonIdAuthor | Kang, Byung Jin | - |
dc.subject.keywordAuthor | 내재확률분포함수 | - |
dc.subject.keywordAuthor | 혼합 대수정규분포 함수 (DLN) | - |
dc.subject.keywordAuthor | 내재 변동성미소 스무딩 (SMIV) | - |
dc.subject.keywordAuthor | 내재 위험회피도 안정성 | - |
dc.subject.keywordAuthor | KOSPI 200 지수옵션 | - |
dc.subject.keywordAuthor | Implied probability density functions | - |
dc.subject.keywordAuthor | Implied risk aversion | - |
dc.subject.keywordAuthor | Stability of estimates | - |
dc.subject.keywordAuthor | KOSPI 200 index options | - |
dc.subject.keywordAuthor | Double lognormal approximating function (DLN) | - |
dc.subject.keywordAuthor | Smoothed implied volatility smile (SMIV) | - |
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