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Estimation of option-implied risk-neutral into real-world density by using calibration function

Option prices contain crucial information that can be used as a reflection of future development of an underlying assets’ price. The main objective of this study is to extract the risk-neutral density (RND) and the risk- world density (RWD) of option prices. A volatility function technique is appli...

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Bibliographic Details
Main Authors: Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format: Conference or Workshop Item
Language:English
English
Published: American Institute of Physics 2017
Subjects:
QA Mathematics
Online Access:http://irep.iium.edu.my/57989/13/57989%20Estimation%20of%20option-implied%20risk-neutral%20into%20real-world.pdf
http://irep.iium.edu.my/57989/7/57989_Estimation%20of%20option-implied%20risk-neutral_SCOPUS.pdf
http://irep.iium.edu.my/57989/
https://aip.scitation.org/doi/abs/10.1063/1.4980937?journalCode=apc
https://doi.org/10.1063/1.4980937
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http://irep.iium.edu.my/57989/13/57989%20Estimation%20of%20option-implied%20risk-neutral%20into%20real-world.pdf
http://irep.iium.edu.my/57989/7/57989_Estimation%20of%20option-implied%20risk-neutral_SCOPUS.pdf
http://irep.iium.edu.my/57989/
https://aip.scitation.org/doi/abs/10.1063/1.4980937?journalCode=apc
https://doi.org/10.1063/1.4980937

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