Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/10983
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yatracos, Yannis G. | - |
dc.date.accessioned | 2018-04-30T10:18:47Z | - |
dc.date.available | 2018-04-30T10:18:47Z | - |
dc.date.issued | 2018-01-02 | - |
dc.identifier.citation | Statistics, 2018, vol. 52, no. 1, pp. 18-33 | en_US |
dc.identifier.issn | 10294910 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/10983 | - |
dc.description.abstract | Distributional Divergence and Statistical Experiments are used herein for a positive stochastic process. This framework provides, under mild assumptions, Risk Neutral Probability (-ies) P* for a stock price process which does not have necessarily either to satisfy a Stochastic Differential Equation or to follow a model, both non-realistic assumptions. The results contribute in understanding the relation between P*, statistical contiguity and market's informational efficiency. P*-price of European option is obtained, confirming the universal quote of the Black–Scholes–Merton price for the class of calm stock prices that includes log-normal price. Other consequences are presented. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Statistics | en_US |
dc.rights | © Taylor & Francis | en_US |
dc.subject | Distributional divergence | en_US |
dc.subject | Infinitely divisible distribution | en_US |
dc.subject | Market risk premium | en_US |
dc.subject | Market's informational efficiency | en_US |
dc.subject | Risk neutral probability | en_US |
dc.subject | Statistical experiment | en_US |
dc.title | Distributional divergence, statistical experiments and consequences in option pricing | en_US |
dc.type | Article | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.subject.category | Mathematics | en_US |
dc.journals | Subscription | en_US |
dc.country | Cyprus | en_US |
dc.subject.field | Natural Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1080/02331888.2017.1369079 | en_US |
dc.relation.issue | 1 | en_US |
dc.relation.volume | 52 | en_US |
cut.common.academicyear | 2017-2018 | en_US |
dc.identifier.spage | 18 | en_US |
dc.identifier.epage | 33 | en_US |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | article | - |
crisitem.author.dept | Department of Communication and Internet Studies | - |
crisitem.author.faculty | Faculty of Communication and Media Studies | - |
crisitem.author.parentorg | Faculty of Communication and Media Studies | - |
crisitem.journal.journalissn | 1029-4910 | - |
crisitem.journal.publisher | Taylor & Francis | - |
Appears in Collections: | Άρθρα/Articles |
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