Estimating Parametric Models of Probability Distributions
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| 024 | 7 | 0 | |a 10.1007/s11009-014-9409-4 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-014-9409-4 | ||
| 100 | 1 | |a Madan |D Dilip |u Robert H. Smith School of Business, University of Maryland, 20742, College Park, MD, USA |4 aut | |
| 245 | 1 | 0 | |a Estimating Parametric Models of Probability Distributions |h [Elektronische Daten] |c [Dilip Madan] |
| 520 | 3 | |a Noting that risk neutral distributions are estimated by minimizing the squared deviations between market and model option prices we consider using option payoff moments in estimating distributional parameters from a sample of observations. It is observed, in particular when compared to maximum likelihood estimation, that digital option payoff moments yield the lowest chisquare statistics for a test of uniformity for data transformed to the unit interval by the estimated distribution function. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Moment estimators |2 nationallicence | |
| 690 | 7 | |a Digital options |2 nationallicence | |
| 690 | 7 | |a Variance gamma |2 nationallicence | |
| 690 | 7 | |a Double gamma model |2 nationallicence | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 823-831 |x 1387-5841 |q 17:3<823 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-014-9409-4 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-014-9409-4 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Madan |D Dilip |u Robert H. Smith School of Business, University of Maryland, 20742, College Park, MD, USA |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 823-831 |x 1387-5841 |q 17:3<823 |1 2015 |2 17 |o 11009 | ||