Empirical estimation of risk-neutral density from option prices
The objective of this study is to extract the forward looking information that is embedded in option prices namely the risk-neutral density (RND). The smoothing volatility function approach is widely used by applying the proper interpolation in RND estimation. This paper presents the statistical com...
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| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | en |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/52364/3/52364.pdf http://irep.iium.edu.my/52364/ |
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