Estimating Parametric Models of Probability Distributions

Dilip B. Madan ()
Additional contact information
Dilip B. Madan: University of Maryland

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 3, 823-831

Abstract: Abstract Noting that risk neutral distributions are estimated by minimizing the squared deviations between market and model option prices we consider using option payoff moments in estimating distributional parameters from a sample of observations. It is observed, in particular when compared to maximum likelihood estimation, that digital option payoff moments yield the lowest chisquare statistics for a test of uniformity for data transformed to the unit interval by the estimated distribution function.

Keywords: Moment estimators; Digital options; Variance gamma; Double gamma model; 62-07; 62P25 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-014-9409-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:17:y:2015:i:3:d:10.1007_s11009-014-9409-4

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-014-9409-4

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().