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|Title:||Distributional divergence, statistical experiments and consequences in option pricing||Authors:||Yatracos, Yannis G.||Keywords:||Distributional divergence;Infinitely divisible distribution;Market risk premium;Market's informational efficiency;Risk neutral probability;Statistical experiment||Category:||Mathematics||Field:||Natural Sciences||Issue Date:||2-Jan-2018||Publisher:||Taylor and Francis Ltd.||Source:||Statistics, 2018, Volume 52, Issue 1, Pages 18-33||DOI:||https://doi.org/10.1080/02331888.2017.1369079||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.||URI:||http://ktisis.cut.ac.cy/handle/10488/10983||ISSN:||02331888||Rights:||© 2017 Informa UK Limited||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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