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The development of a risk-neutral density estimation method

The Risk-Neutral Density (RND) function is the distribution implied by option prices. Broadly, the approaches to extract RND can be classified into four categories; an underlying asset is assumed to follow a stochastic distribution, parametric techniques, semi-parametric techniques and smoothing a v...

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Main Authors: Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format: Article
Language:English
English
Published: Medwell Journals 2016
Subjects:
QA Mathematics
Online Access:http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf
http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf
http://irep.iium.edu.my/54381/
http://docsdrive.com/pdfs/medwelljournals/jeasci/2016/1633-1638.pdf
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spelling my.iium.irep.543812019-12-23T07:05:06Z http://irep.iium.edu.my/54381/ The development of a risk-neutral density estimation method Bahaludin, Hafizah Abdullah, Mimi Hafizah QA Mathematics The Risk-Neutral Density (RND) function is the distribution implied by option prices. Broadly, the approaches to extract RND can be classified into four categories; an underlying asset is assumed to follow a stochastic distribution, parametric techniques, semi-parametric techniques and smoothing a volatility function. Smoothing volatility function is a common practice in extracting the RND function. Theoretically, it can be estimated by differentiating the call prices twice with respect to the strike price if the continuous strike prices are available. This study focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method. Medwell Journals 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf application/pdf en http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf Bahaludin, Hafizah and Abdullah, Mimi Hafizah (2016) The development of a risk-neutral density estimation method. Journal of Engineering and Applied Sciences, 11 (7). pp. 1633-1638. ISSN 1816-949X http://docsdrive.com/pdfs/medwelljournals/jeasci/2016/1633-1638.pdf 10.3923/jeasci.2016.1633.1638
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic QA Mathematics
spellingShingle QA Mathematics
Bahaludin, Hafizah
Abdullah, Mimi Hafizah
The development of a risk-neutral density estimation method
description The Risk-Neutral Density (RND) function is the distribution implied by option prices. Broadly, the approaches to extract RND can be classified into four categories; an underlying asset is assumed to follow a stochastic distribution, parametric techniques, semi-parametric techniques and smoothing a volatility function. Smoothing volatility function is a common practice in extracting the RND function. Theoretically, it can be estimated by differentiating the call prices twice with respect to the strike price if the continuous strike prices are available. This study focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method.
format Article
author Bahaludin, Hafizah
Abdullah, Mimi Hafizah
author_facet Bahaludin, Hafizah
Abdullah, Mimi Hafizah
author_sort Bahaludin, Hafizah
title The development of a risk-neutral density estimation method
title_short The development of a risk-neutral density estimation method
title_full The development of a risk-neutral density estimation method
title_fullStr The development of a risk-neutral density estimation method
title_full_unstemmed The development of a risk-neutral density estimation method
title_sort development of a risk-neutral density estimation method
publisher Medwell Journals
publishDate 2016
url http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf
http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf
http://irep.iium.edu.my/54381/
http://docsdrive.com/pdfs/medwelljournals/jeasci/2016/1633-1638.pdf
_version_ 1654959774670782464
score 13.211869

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