Replication Data for: Benchmark Neutral Pricing

NIAID Data Ecosystem2026-05-01 收录

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基准中性模型验证

数据链接：

https://doi.org/10.7910/DVN/R9I0AB 数据链接链接失效反馈

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资源简介：

The data consist of an EXCEL file that contains the calculations for the figures in the paper: "Benchmark-Neutral Pricing" by Eckhard Platen

创建时间：

2024-04-05

On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches

衍生品定价

信用违约互换

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance o

NBER2010-02-01 更新130

Data for: Empirical forward price distribution from Bitcoin option prices

衍生品定价

比特币分析

Data from Deribit exchange snapped at 5-minutes intervals from 9 to 18 dec 2018. Format is json. Contains option and futures data. USD Libor data is included but not used in the report.

Mendeley Data50

Estimating State Price Densities Implied by American Options*

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预测分析

We propose a new method to estimate state price densities implicit in American-style options. The method involves estimating the parameters of a Gauss-Hermite series expansion and solving a sequence o

Taylor & Francis Group2025-07-16 更新10

Estimating State Price Densities Implied by American Options

衍生品定价

期权与股权市场分析

DataCite Commons2026-05-21 更新90

The Role of Guarantees in Defined Contribution Pensions

养老金担保机制

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This paper examines the role of guarantees in DC pension plans, in particular minimum investment return guarantees during the accumulation phase. The main goal is to assess the cost and benefits of di

Organisation for Economic Co-operation and Development40

Replication Data for: Benchmark Neutral Pricing

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