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...

Full description

Bibliographic Details
Main Authors: Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format: Conference or Workshop Item
Language:English
Published: 2016
Subjects:
Online Access:http://irep.iium.edu.my/50027/
http://irep.iium.edu.my/50027/
http://irep.iium.edu.my/50027/8/50027new.pdf