Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/10983
Title: | Distributional divergence, statistical experiments and consequences in option pricing |
Authors: | Yatracos, Yannis G. |
Major Field of Science: | Natural Sciences |
Field Category: | Mathematics |
Keywords: | Distributional divergence;Infinitely divisible distribution;Market risk premium;Market's informational efficiency;Risk neutral probability;Statistical experiment |
Issue Date: | 2-Jan-2018 |
Source: | Statistics, 2018, vol. 52, no. 1, pp. 18-33 |
Volume: | 52 |
Issue: | 1 |
Start page: | 18 |
End page: | 33 |
Journal: | Statistics |
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: | https://hdl.handle.net/20.500.14279/10983 |
ISSN: | 10294910 |
DOI: | 10.1080/02331888.2017.1369079 |
Rights: | © Taylor & Francis |
Type: | Article |
Affiliation : | Cyprus University of Technology |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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