Keyword: American option, price, probability density function

論文タイトル Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis
出版情報 Journal of Financial and Quantitative Analysis, Volume32, Issue01, March 1997
著者 William R. Melick and Charles P. Thomas
概要(abstract) "We develop a general method for estimating the implied, martingale equivalent, probability density function (PDF) for futures prices from American options prices. The early exercise feature of American options precludes expressing the price of the option in terms of the PDF. There exist tight bounds for the price of American options in terms of the PDF. We demonstrate how these bounds, together with observed option prices, can be used to estimate the parameters of the PDF. We estimate the distribution for crude oil during the Persian Gulf crisis and find the distribution differs significantly from that recovered using standard techniques."
使用されているNAG製品 "MLN"("a mixture of three lognormal distributions")と"SLN"("the single lognormal")の推定にNAG Fortran Library アルゴリズム E04UPF が使用されている。またアメリカンコールオプションの価格を近似する際の"critical commodity price"の計算にNAG Fortran Library アルゴリズム C05AJF が使用されている。


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