?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F525%2F&rft.title=Testing+and+finding+the+generating+functions+of+an+option+pricing+mechanism+through+market+data&rft.creator=Peng%2C+S.&rft.subject=Finance&rft.description=We+study+dynamic+pricing+mechanisms+of+financial+derivatives.+A+typical+model+of+such+pricing+mechanism+is+the+so-called+g-expectation+defined+by+solutions+of+a+backward+stochastic+differential+equation+with+g+as+its+generating+function.+Black-Scholes+pricing+model+is+a+special+linear+case+of+this+pricing+mechanism.+We+are+mainly+concerned+with+two+types+of+pricing+mechanisms+in+an+option+market%3A+the+market+pricing+mechanism+through+which+the+market+prices+of+options+are+produced%2C+and+the+ask-bid+pricing+mechanism+operated+through+the+system+of+market+makers.+The+later+one+is+a+typical+nonlinear+pricing+mechanism.+Data+of+prices+produced+by+these+two+pricing+mechanisms+are+usually+quoted+in+an+option+market.%0D%0A%0D%0AWe+introduce+a+criteria+to+test+if+a+dynamic+pricing+mechanism+under+investigation+is+a+g-pricing+mechanism.+This+domination+condition+was+statistically+tested+using+CME+data+documents.+The+result+of+test+is+significantly+positive.+We+also+provide+some+useful+characterizations+of+a+pricing+mechanism+by+its+generating+function.&rft.date=2006&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F525%2F1%2FTesting-and-finding-teh-generating-functions-g-of-an-option-pricing-mechanism-through-market-data.pdf&rft.identifier=++Peng%2C+S.++(2006)+Testing+and+finding+the+generating+functions+of+an+option+pricing+mechanism+through+market+data.++%5BStudy+Group+Report%5D+++++