Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/10983
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
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