無套利市場、完全市場與風險中立機率的唯一存在 (An Arbitrage-Free and Complete Market and the Unique Existence of Risk-Neutral Probabilities)

2019 ◽  
Author(s):  
Jen-Chang Liu ◽  
Mark Yeats
Keyword(s):  
Unique Existence ◽  
Complete Market ◽  
Risk Neutral ◽  
Risk Neutral Probabilities

scholarly journals Market-Implied Risk-Neutral Probabilities, Actual Probabilities, Credit Risk and News

2011 ◽  
Vol 23 (3) ◽  
pp. 128
Author(s):  
Shashidhar Murthy
Keyword(s):  
Credit Risk ◽  
Risk Neutral ◽  
Risk Neutral Probabilities

scholarly journals A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES

2009 ◽  
Vol 12 (07) ◽  
pp. 925-947 ◽  
Author(s):  
RENÉ AÏD ◽  
LUCIANO CAMPI ◽  
ADRIEN NGUYEN HUU ◽  
NIZAR TOUZI
Keyword(s):  
Electricity Market ◽  
Structural Aspect ◽  
Electricity Prices ◽  
Forward Contracts ◽  
Spot Prices ◽  
Modeling Methodology ◽  
Risk Neutral ◽  
Risk Neutral Probabilities ◽  
Crude Approximation ◽  
Forward Prices

The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Our model explains, in a stylized fact, how the prices of different fuels together with the demand combine to produce electricity prices. This modeling methodology allows one to transfer to electricity prices the risk-neutral probabilities of the market of fuels and under the hypothesis of independence between demand and outages on one hand, and prices of fuels on the other hand, it provides a regression-type relation between electricity forward prices and forward prices of fuels. Moreover, the model produces, by nature, the well-known peaks observed on electricity market data. In our model, spikes occur when the producer has to switch from one technology to the lowest cost available one. Numerical tests performed on a very crude approximation of the French electricity market using only two fuels (gas and oil) provide an illustration of the potential interest of this model.

Continuous-Time Topics

2017 ◽  
Author(s):  
Kerry E. Back
Keyword(s):  
Portfolio Choice ◽  
Risk Premium ◽  
Cash Flows ◽  
Jump Processes ◽  
Portfolio Risk ◽  
Continuous Part ◽  
Jump Risks ◽  
Complete Market ◽  
Risk Neutral Probabilities ◽  
Premium Puzzle

The fundamental PDE for valuing cash flows or cash flow streams is explained. In a complete market, an investor’s optimal wealth satisfies the fundamental PDE, and this provides a means of calculating the optimal portfolio. Risk neutral probabilities and Girsanov’s theorem are explained. Jump processes, including Poisson processes, are introduced. The risk premium of an asset with jump risks depends on covariation of its continuous part with the continuous part of an SDF and the covariation of its discontinuous part with the discontinuous part of an SDF. Portfolio choice with internal habits is characterized. The ability of a representative investor model with an internal habit to explain the equity premium puzzle is discussed.

Recovering Risk Neutral Densities from Option Prices: A New Approach

2008 ◽  
Vol 43 (4) ◽  
pp. 1037-1053 ◽  
Author(s):  
Leonidas S. Rompolis ◽  
Elias Tzavalis
Keyword(s):  
Probability Density Function ◽  
Probability Density ◽  
Empirical Evidence ◽  
Neutral Density ◽  
Option Prices ◽  
Exponential Form ◽  
New Approach ◽  
Risk Neutral ◽  
Risk Neutral Probabilities ◽  
Risk Neutral Density

AbstractIn this paper we present a new method of approximating the risk neutral density (RND) from option prices based on the C-type Gram-Charlier series expansion (GCSE) of a probability density function. The exponential form of this type of GCSE guarantees that it will always give positive values of the risk neutral probabilities, and it can allow for stronger deviations from normality, which are two drawbacks of the A-type GCSE used in practice. To evaluate the performance of the suggested expansion of the RND, the paper presents simulation and empirical evidence.

Risk-Neutral Probabilities Explained

2010 ◽  
Author(s):  
Nicolas Gisiger
Keyword(s):  
Risk Neutral ◽  
Risk Neutral Probabilities

Another look at risk-neutral probabilities

Wilmott ◽  
2005 ◽  
Vol 2005 (1) ◽  
pp. 33-33 ◽  
Keyword(s):  
At Risk ◽  
Risk Neutral ◽  
Risk Neutral Probabilities

scholarly journals Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

2019 ◽  
Vol 26 (4) ◽  
pp. 128-143
Author(s):  
Michael Hanke ◽  
Rolf Poulsen ◽  
Alex Weissensteiner
Keyword(s):  
Risk Neutral ◽  
Risk Neutral Probabilities
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