Sökning: "Gauss-Hermite expansion"

Hittade 1 uppsats innehållade orden Gauss-Hermite expansion.

  1. 1. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dennis Facius; Mohit Rakyan; [2017]
    Nyckelord :Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

    Sammanfattning : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. LÄS MER