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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| 主要な著者: | , |
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| フォーマット: | 論文 |
| 言語: | English English |
| 出版事項: |
Medwell Journals
2016
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| 主題: | |
| オンライン･アクセス: | 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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