State Price Density Extracted from OMX Option Prices
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
The state price density (SPD), assessed to be a mixture of log-normal densities, for the Swedish OMX Index is estimated using a combination of a genetic algorithm (GA) and a newton method; where the GA is used to provide the newton method with intial datums.
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IdentifiersURN: urn:nbn:se:su:diva-2821OAI: oai:DiVA.org:su-2821DiVA: diva2:191906