Option Pricing by Probability Distortion Operator Based on the Quantile Function
Sign Up to like & getrecommendations! Published in 2019 at "Mathematical Problems in Engineering"
DOI: 10.1155/2019/5831569
Abstract: A new class of distortion operators based on quantile function is proposed for pricing options. It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure… read more here.
Keywords: quantile function; based quantile; distortion; distortion operator ... See more keywords
A quantile function approach to the distribution of financial returns following TGARCH models
Sign Up to like & getrecommendations! Published in 2019 at "Statistical Modelling"
DOI: 10.1177/1471082x19876371
Abstract: We develop a novel quantile function approach to the distribution of financial returns that follow threshold GARCH models. We propose a Bayesian method to do estimation and forecasting simultaneously, which ensures that the density forecasts… read more here.
Keywords: function approach; approach distribution; quantile function; financial returns ... See more keywords