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...
Main Authors: | , |
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Format: | Conference or Workshop Item |
Language: | English |
Published: |
2016
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Subjects: | |
Online Access: | http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/8/50027new.pdf |