Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.

Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.

The approach detailed by Malz (1997) was used to extract the risk neutral probability density function of Hong Kong Hang Seng Index (HSI) from the prices of its options. Results obtained from option price quotations for contracts traded from January 2000 to December 2001 are reported for estimating...

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Bibliographic Details
Main Authors: The, Khim Swee., Xu, Xiaoxi.
Other Authors: Tan, Kok Hui
Format: Theses and Dissertations
Published: 2008
Subjects:
DRNTU::Business::Finance::Options
Online Access:http://hdl.handle.net/10356/7728
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-7728
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spelling sg-ntu-dr.10356-77282024-01-12T10:20:37Z Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm. The, Khim Swee. Xu, Xiaoxi. Tan, Kok Hui Nanyang Business School DRNTU::Business::Finance::Options The approach detailed by Malz (1997) was used to extract the risk neutral probability density function of Hong Kong Hang Seng Index (HSI) from the prices of its options. Results obtained from option price quotations for contracts traded from January 2000 to December 2001 are reported for estimating the market ex ante risk-neutral probability density function. Master of Science (Financial Engineering) 2008-09-18T07:50:21Z 2008-09-18T07:50:21Z 2003 2003 Thesis http://hdl.handle.net/10356/7728 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Options
spellingShingle DRNTU::Business::Finance::Options
The, Khim Swee.
Xu, Xiaoxi.
Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
description The approach detailed by Malz (1997) was used to extract the risk neutral probability density function of Hong Kong Hang Seng Index (HSI) from the prices of its options. Results obtained from option price quotations for contracts traded from January 2000 to December 2001 are reported for estimating the market ex ante risk-neutral probability density function.
author2 Tan, Kok Hui
author_facet Tan, Kok Hui
The, Khim Swee.
Xu, Xiaoxi.
format Theses and Dissertations
author The, Khim Swee.
Xu, Xiaoxi.
author_sort The, Khim Swee.
title Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
title_short Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
title_full Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
title_fullStr Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
title_full_unstemmed Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
title_sort forecasts of future option prices derived from risk neutral probability density function using evolution algorithm.
publishDate 2008
url http://hdl.handle.net/10356/7728
_version_ 1789483065824772096

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