Change search
ReferencesLink to record
Permanent link

Direct link
State Price Density Extracted from OMX Option Prices
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
National Category
Business Administration
URN: urn:nbn:se:su:diva-2821OAI: diva2:191906
Available from: 2007-01-05 Created: 2007-01-05

Open Access in DiVA

No full text

By organisation
School of Business
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 94 hits
ReferencesLink to record
Permanent link

Direct link