A Non-Gaussian Pricing Model for Structured Products

A Non-Gaussian Pricing Model for Structured Products

The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability distributions of the underlying price processes.Pricing techniques, currently worldwide accepted, are based on the Black–Scholes model modifica...

Full description

Bibliographic Details
Main Author:	Denis Zuev
Format:	Article
Language:	English
Published:	National Research University Higher School of Economics 2017-09-01
Series:	Корпоративные финансы
Subjects:	fair value non-gaussian joint probability density function with skew payout function structured derivatives market structured product structured products pricing methodology
Online Access:	https://cfjournal.hse.ru/article/view/7210/8123

Similar Items

Statistical Description of the Sea Surface by Two-Component Gaussian Mixture
by: A.S. Zapevalov, et al.
Published: (2022-08-01)

Application of equivalent non-Gaussian excitation method for systems subjected to non-Gaussian random excitation with asymmetric probability distribution
by: Takahiro TSUCHIDA, et al.
Published: (2015-08-01)

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product
by: Wang Weiwei, et al.
Published: (2023-01-01)

Contact Analysis and Friction Prediction of Non-Gaussian Random Surfaces
by: Jinzhao Ren, et al.
Published: (2022-11-01)

On the Impact of Dividend Payments on Stock Prices - an Empirical Analysis of the German Stock Market
by: Melching Konstantin, et al.
Published: (2021-04-01)

PRICE DISCRIMINATION AND MARKET POWER: A THEORETICAL ANALYSIS
by: Olga Smirnova
Published: (2015-07-01)

Articulaciones productivas en el marco del comercio justo: análisis de las organizaciones productivas y consumidores de comercio justo en Colombia
by: Lina María Botero Duque, et al.
Published: (2010-06-01)

On Some Aspects of a New Class of Two-Piece Asymmetric Normal Distribution
by: C. Satheesh Kumar, et al.
Published: (2018-03-01)

Prediction and Evaluation of Electricity Price in Restructured Power Systems Using Gaussian Process Time Series Modeling
by: Abdolmajid Dejamkhooy, et al.
Published: (2022-08-01)

The methodology of pricing management at tourism enterprises
by: V.V. Ivanova
Published: (2015-12-01)

Design and Multiplierless Implementations of ECG-Based 1st Order Gaussian Derivative Wavelet Filter with Lattice Structures
by: Abdulhamed M. Jasim, et al.
Published: (2012-12-01)

Response distribution of nonlinear systems subjected to non-Gaussian random excitation using Gaussian mixture model
by: Yuta BABA, et al.
Published: (2015-02-01)

Statistical Analysis of Gait Maturation in Children Using Nonparametric Probability Density Function Modeling
by: Ning Xiang, et al.
Published: (2013-02-01)

Spatial Modeling of Precipitation Based on Data-Driven Warping of Gaussian Processes
by: Vasiliki D. Agou, et al.
Published: (2022-02-01)

On the Distribution of the Information Density of Gaussian Random Vectors: Explicit Formulas and Tight Approximations
by: Jonathan E. W. Huffmann, et al.
Published: (2022-07-01)

The Dual Characterization of Structured and Skewed Structured Singular Values
by: Mutti-Ur Rehman, et al.
Published: (2022-06-01)

DETERMINANTS OF MARKET PRICE OF COMMON STOCK OF LISTED INDUSTRIALIZED FIRMS IN NIGERIA
by: Aishat Salawudeen, et al.
Published: (2021-04-01)

Bistatic Radar Scattering from Non-Gaussian Height Distributed Rough Surfaces
by: Ying Yang, et al.
Published: (2022-09-01)

PRICE TRANSMISSION IN SERBIAN MILK COMMODITY CHAIN
by: Rade Popović, et al.
Published: (2010-12-01)

Error Uncertainty Analysis in Planar Closed-Loop Structure with Joint Clearances
by: Yushu Yu, et al.
Published: (2021-11-01)

REACTION OF SHARE PRICES TO DIVIDEND POLICY OF NON-FINANCIAL FIRMS IN NIGERIA: A PANEL DATA APPROACH
by: Nkechi A. Emeka-Nwokeji, et al.
Published: (2022-12-01)

Gaussian integral by Taylor series and applications
by: Lázaro Lima de Sales, et al.
Published: (2021-07-01)

Feasibility study on characterization of non-Gaussian rough surface by ultrasonic reflection method with the Kirchhoff theory
by: Muhammad Nur Farhan SANIMAN, et al.
Published: (2016-07-01)

Analysis of economic issues relating to the dairy sector, with emphasis on price transmission
by: Péter András Popovics
Published: (2008-10-01)

Disturbing Variability in Microwave Emission from a Non-Gaussian Distributed and Correlated Multiscale Rough Surface
by: Ying Yang, et al.
Published: (2023-06-01)

Novel Gaussian flower pollination algorithm with IoT for unit price prediction in peer-to-peer energy trading market
by: Satyabrata Sahoo, et al.
Published: (2021-11-01)

A Simple Third-Moment Reliability Index
by: Jiao Wang, et al.
Published: (2017-01-01)

Does Price Discrimination Increase Social Welfare?
by: Srijana Poudel
Published: (2023-01-01)

ARE LIQUIDITY, DIVIDEND POLICY, LEVERAGE, AND PROFITABILITY THE DETERMINANTS OF FIRM VALUE: EVIDENCE FROM THE LISTED FIRMS?
by: Brishti Chakraborty, et al.
Published: (2023-12-01)

Investigation of the Static Performance of Hydrostatic Thrust Bearings Considering Non-Gaussian Surface Topography
by: Huaiqing Lu, et al.
Published: (2023-06-01)

Dark-photon search using data from CRESST-II Phase 2
by: G. Angloher, et al.
Published: (2017-05-01)

PENGARUH RETURN ON EQUITY DAN DIVIDEND PAYOUT RATIO TERHADAP PRICE BOOK VALUE
by: Bia Nabila Jamil
Published: (2017-04-01)

Elsevier Title Level Pricing: Dissecting the Bowl of Spaghetti
by: Curtis Brundy, et al.
Published: (2021-05-01)

SVRPF: An Improved Particle Filter for a Nonlinear/Non-Gaussian Environment
by: Xingzi Qiang, et al.
Published: (2019-01-01)

The trend of the gold prices in Malaysia / Mohamed Azman Mat Junoh
by: Mat Junoh, Mohamed Azman
Published: (2013)

Quantitative versions of the two-dimensional Gaussian product inequalities
by: Ze-Chun Hu, et al.
Published: (2023-01-01)

On the Use of a Domain Decomposition Strategy in Obtaining Response Statistics in Non-Gaussian Seas
by: Griet Decorte, et al.
Published: (2021-01-01)

The Evolution of Probability Density Function for Power System Excited by Fractional Gaussian Noise
by: Hufei Li, et al.
Published: (2023-06-01)

A two-branch cloud detection algorithm based on the fusion of a feature enhancement module and Gaussian mixture model
by: Fangrong Zhou, et al.
Published: (2023-12-01)

Innovative price-setting approaches to high-value products: A pricing method for agribusiness farmers
by: Phaninee Naruetharadhol, et al.
Published: (2022-09-01)