Matches in SemOpenAlex for { <https://semopenalex.org/work/W3147914246> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W3147914246 abstract "The fact that expected payoffs on assets and call options are infinite under most log-stable distributions led both Paul Samuelson (as quoted by Smith 1976) and Robert Merton (1976) to conjecture that assets and derivatives could not be reasonably priced under these distributions, despite their attractive feature as limiting distributions under the Generalized Central Limit Theorem. Carr and Wu (2003) are able to price options under log-stable uncertainty, but only by making the extreme assumption of maximally negative skewness. This paper demonstrates that when the observed distribution of prices is log-stable, the Risk Neutral Measure (RNM) under which asset and derivative prices may be computed as expectations is not itself log-stable in the problematic cases. Instead, the RNM is determined by the convolution of two densities, one negatively skewed stable, and the other an exponentially tilted positively skewed stable. The resulting RNM gives finite expected payoffs for all parameter values, so that the concerns of Samuelson and Merton were in fact unfounded, while the Carr and Wu restriction is unnecessary. Since the log-stable RNM developed here is expressed in terms of its characteristic function, it enables options on log-stable assets to be computed easily by means of the Fast Fourier Transform (FFT) methodology of Carr and Madan (1999), provided a simple Romberg extension of the FFT, introduced here, is employed." @default.
- W3147914246 created "2021-04-13" @default.
- W3147914246 creator A5007741183 @default.
- W3147914246 date "2004-01-01" @default.
- W3147914246 modified "2023-09-23" @default.
- W3147914246 title "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion" @default.
- W3147914246 hasPublicationYear "2004" @default.
- W3147914246 type Work @default.
- W3147914246 sameAs 3147914246 @default.
- W3147914246 citedByCount "0" @default.
- W3147914246 crossrefType "posted-content" @default.
- W3147914246 hasAuthorship W3147914246A5007741183 @default.
- W3147914246 hasConcept C102519508 @default.
- W3147914246 hasConcept C11413529 @default.
- W3147914246 hasConcept C122342681 @default.
- W3147914246 hasConcept C134306372 @default.
- W3147914246 hasConcept C144237770 @default.
- W3147914246 hasConcept C149782125 @default.
- W3147914246 hasConcept C202444582 @default.
- W3147914246 hasConcept C2780009758 @default.
- W3147914246 hasConcept C2780910948 @default.
- W3147914246 hasConcept C2780990831 @default.
- W3147914246 hasConcept C28826006 @default.
- W3147914246 hasConcept C33923547 @default.
- W3147914246 hasConcept C41008148 @default.
- W3147914246 hasConcept C75172450 @default.
- W3147914246 hasConcept C77088390 @default.
- W3147914246 hasConcept C88757350 @default.
- W3147914246 hasConceptScore W3147914246C102519508 @default.
- W3147914246 hasConceptScore W3147914246C11413529 @default.
- W3147914246 hasConceptScore W3147914246C122342681 @default.
- W3147914246 hasConceptScore W3147914246C134306372 @default.
- W3147914246 hasConceptScore W3147914246C144237770 @default.
- W3147914246 hasConceptScore W3147914246C149782125 @default.
- W3147914246 hasConceptScore W3147914246C202444582 @default.
- W3147914246 hasConceptScore W3147914246C2780009758 @default.
- W3147914246 hasConceptScore W3147914246C2780910948 @default.
- W3147914246 hasConceptScore W3147914246C2780990831 @default.
- W3147914246 hasConceptScore W3147914246C28826006 @default.
- W3147914246 hasConceptScore W3147914246C33923547 @default.
- W3147914246 hasConceptScore W3147914246C41008148 @default.
- W3147914246 hasConceptScore W3147914246C75172450 @default.
- W3147914246 hasConceptScore W3147914246C77088390 @default.
- W3147914246 hasConceptScore W3147914246C88757350 @default.
- W3147914246 hasLocation W31479142461 @default.
- W3147914246 hasOpenAccess W3147914246 @default.
- W3147914246 hasPrimaryLocation W31479142461 @default.
- W3147914246 hasRelatedWork W1509820832 @default.
- W3147914246 hasRelatedWork W1556472511 @default.
- W3147914246 hasRelatedWork W1607635318 @default.
- W3147914246 hasRelatedWork W1905306605 @default.
- W3147914246 hasRelatedWork W1965360229 @default.
- W3147914246 hasRelatedWork W1976745016 @default.
- W3147914246 hasRelatedWork W1979420202 @default.
- W3147914246 hasRelatedWork W2000837197 @default.
- W3147914246 hasRelatedWork W2105336975 @default.
- W3147914246 hasRelatedWork W2151756243 @default.
- W3147914246 hasRelatedWork W2297065907 @default.
- W3147914246 hasRelatedWork W2893243890 @default.
- W3147914246 hasRelatedWork W2914919662 @default.
- W3147914246 hasRelatedWork W3122632559 @default.
- W3147914246 hasRelatedWork W3122932287 @default.
- W3147914246 hasRelatedWork W3124417175 @default.
- W3147914246 hasRelatedWork W3124955375 @default.
- W3147914246 hasRelatedWork W3125516542 @default.
- W3147914246 hasRelatedWork W3147746973 @default.
- W3147914246 hasRelatedWork W56793581 @default.
- W3147914246 isParatext "false" @default.
- W3147914246 isRetracted "false" @default.
- W3147914246 magId "3147914246" @default.
- W3147914246 workType "article" @default.