Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach

This paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the prices of options for West Texas Intermediate (WTI) crude oil that were traded in the period between January 2016 and January 2017. For these series we extract the implicit RND in th...

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Autores:
Cortés, Lina M.
Mora-Valencia, Andrés
Perote, Javier
Tipo de recurso:
Fecha de publicación:
2017
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/11906
Acceso en línea:
http://hdl.handle.net/10784/11906
Palabra clave:
Oil prices
option pricing
risk neutral density
semi-nonparametric approach
Precios del petróleo
fijación de precios de opciones
densidad neutra de riesgo
enfoque semi-no paramétrico
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