Estimation of State-price Densities

本研究构建了风险溢价、流动性溢价和便利收益在衍生品定价中反映的理论模型，并利用日本金融市场的衍生品价格对这些模型进行了实证检验。Takagi和Saito的“状态价格密度的非参数估计：局部多项式估计器的应用”（正在审查中）使用大阪证券交易所列出的指数期权价格估计状态价格密度。特别地，本研究应用了局部多项式估计量（一种非参数估计量）来考虑期权价格中较少的点。Saito和Ohnishi（2001）研究了2000年4月日经指数中证券变动的影响，发现个股价格显著反映了市场流动性的变化。Fukuta， Saito和Takagi（即将出版）利用利率掉期价差的信息量化了日本国债的便利收益率，并确定了几个有助于收益便利的因素。另一方面，fuuta和Saito（即将出版）则实证地考察了流动性对远期汇率的影响。

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.