It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a negative...

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Autores principales: Stephan Höcht, Dilip B. Madan, Wim Schoutens, Eva Verschueren
Formato: article
Lenguaje:EN
Publicado: MDPI AG 2021
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Acceso en línea:https://doaj.org/article/1436275c1e4f486ca901171047b48538
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