2001 Fiscal Year Final Research Report Summary
Estimation of State-price Densities
| Project/Area Number |
11630012
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
経済理論
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| Research Institution | Hitotsubashi University (2001)
Osaka University (1999-2000) |
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Principal Investigator |
SAITO Makoto Hitotsubashi Univ., Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (10273426)
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| Co-Investigator(Kenkyū-buntansha) |
FUKUTA Yuichi Kobe Univ., Faculty of Business, Associate Professor, 大学院・経営学研究科, 助教授 (00243147)
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| Project Period (FY) |
1999 – 2001
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| Keywords | Derivative pricing / State-price densities / Nonparametric estimation / Market liquidity / Convenience yields / Asset pricing bubbles / Liquidity effects |
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| Research Abstract |
This research project has constructed theoretical models to analyze how risk premium, liquidity premium, and convenience yields are reflected in derivative pricing, and empirically tested those models using derivative prices observed in financial markets in Japan. "Nonparametric estimation of state-price densities : An application of the local polynomial estimator" by Takagi and Saito (under review) estimates state-price densities using the index option prices listed in the Osaka Stock Exchange. In particular, this study applies local polynomial estimators, one of nonparametric estimators, in consideration for fewer points of exercise prices in the OSE. Saito and Ohnishi (2001) investigate the impact of changes in securities included in the Nikkei Index in April 2000, and find that individual stock prices reflected changes in market liquidity significantly. Fukuta, Saito, and Takagi (forthcoming) quantify convenience yields on JGBs exploiting the information of interest-rate swap spreads, and identify several factors, which contribute to yielding convenience. Fukuta and Saito (forthcoming), on the other hand, empirically examines the liquidity effect on forward exchange rates.
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