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DF Structure models for options pricing

The fiducial test of partial distribution

Designing the Pearsons statistic as following:

(14)

There are two parameters to be estimated,

If there is nothing special to mention, we shall use (12) and (13) to estimate parameters underside, and use (14) as test statistic. We adopt the significance level α=0.025, i.e. the fiducial level 1-α=0.975 in the following statistic test.

And the relevant statistic test results of lognormal distribution, χ2l, are given for the comparison with χ2 . The parameters in lognormal distribution are estimated by the maximum likelihood.

Prof. Feng Dai, Prof. Zifu Qin

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