Matches in SemOpenAlex for { <https://semopenalex.org/work/W2003264997> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2003264997 endingPage "e0116752" @default.
- W2003264997 startingPage "e0116752" @default.
- W2003264997 abstract "We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise." @default.
- W2003264997 created "2016-06-24" @default.
- W2003264997 creator A5015895901 @default.
- W2003264997 creator A5032596103 @default.
- W2003264997 date "2015-01-27" @default.
- W2003264997 modified "2023-10-14" @default.
- W2003264997 title "A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation" @default.
- W2003264997 cites W1552566358 @default.
- W2003264997 cites W1575877217 @default.
- W2003264997 cites W1978032414 @default.
- W2003264997 cites W1979703891 @default.
- W2003264997 cites W1989430166 @default.
- W2003264997 cites W2064978316 @default.
- W2003264997 cites W2077791698 @default.
- W2003264997 cites W2085266415 @default.
- W2003264997 cites W2106154424 @default.
- W2003264997 cites W2151065060 @default.
- W2003264997 cites W4231057775 @default.
- W2003264997 cites W4234011924 @default.
- W2003264997 doi "https://doi.org/10.1371/journal.pone.0116752" @default.
- W2003264997 hasPubMedCentralId "https://www.ncbi.nlm.nih.gov/pmc/articles/4308111" @default.
- W2003264997 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/25625856" @default.
- W2003264997 hasPublicationYear "2015" @default.
- W2003264997 type Work @default.
- W2003264997 sameAs 2003264997 @default.
- W2003264997 citedByCount "3" @default.
- W2003264997 countsByYear W20032649972017 @default.
- W2003264997 countsByYear W20032649972018 @default.
- W2003264997 countsByYear W20032649972019 @default.
- W2003264997 crossrefType "journal-article" @default.
- W2003264997 hasAuthorship W2003264997A5015895901 @default.
- W2003264997 hasAuthorship W2003264997A5032596103 @default.
- W2003264997 hasBestOaLocation W20032649971 @default.
- W2003264997 hasConcept C10138342 @default.
- W2003264997 hasConcept C106159729 @default.
- W2003264997 hasConcept C122342681 @default.
- W2003264997 hasConcept C144237770 @default.
- W2003264997 hasConcept C149782125 @default.
- W2003264997 hasConcept C162324750 @default.
- W2003264997 hasConcept C186027771 @default.
- W2003264997 hasConcept C194483076 @default.
- W2003264997 hasConcept C2780821815 @default.
- W2003264997 hasConcept C28826006 @default.
- W2003264997 hasConcept C33923547 @default.
- W2003264997 hasConcept C41008148 @default.
- W2003264997 hasConceptScore W2003264997C10138342 @default.
- W2003264997 hasConceptScore W2003264997C106159729 @default.
- W2003264997 hasConceptScore W2003264997C122342681 @default.
- W2003264997 hasConceptScore W2003264997C144237770 @default.
- W2003264997 hasConceptScore W2003264997C149782125 @default.
- W2003264997 hasConceptScore W2003264997C162324750 @default.
- W2003264997 hasConceptScore W2003264997C186027771 @default.
- W2003264997 hasConceptScore W2003264997C194483076 @default.
- W2003264997 hasConceptScore W2003264997C2780821815 @default.
- W2003264997 hasConceptScore W2003264997C28826006 @default.
- W2003264997 hasConceptScore W2003264997C33923547 @default.
- W2003264997 hasConceptScore W2003264997C41008148 @default.
- W2003264997 hasIssue "1" @default.
- W2003264997 hasLocation W20032649971 @default.
- W2003264997 hasLocation W20032649972 @default.
- W2003264997 hasLocation W20032649973 @default.
- W2003264997 hasLocation W20032649974 @default.
- W2003264997 hasLocation W20032649975 @default.
- W2003264997 hasOpenAccess W2003264997 @default.
- W2003264997 hasPrimaryLocation W20032649971 @default.
- W2003264997 hasRelatedWork W1551413498 @default.
- W2003264997 hasRelatedWork W2055761234 @default.
- W2003264997 hasRelatedWork W2601445635 @default.
- W2003264997 hasRelatedWork W2992182782 @default.
- W2003264997 hasRelatedWork W3086189843 @default.
- W2003264997 hasRelatedWork W3123236649 @default.
- W2003264997 hasRelatedWork W3197724220 @default.
- W2003264997 hasRelatedWork W3212451363 @default.
- W2003264997 hasRelatedWork W4324146549 @default.
- W2003264997 hasRelatedWork W803082899 @default.
- W2003264997 hasVolume "10" @default.
- W2003264997 isParatext "false" @default.
- W2003264997 isRetracted "false" @default.
- W2003264997 magId "2003264997" @default.
- W2003264997 workType "article" @default.