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:	QA Mathematics
Online Access:	http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/8/50027new.pdf

id	iium-50027
recordtype	eprints
spelling	iium-500272019-10-09T01:03:36Z http://irep.iium.edu.my/50027/ The development of a risk-neutral density estimation method Bahaludin, Hafizah Abdullah, Mimi Hafizah QA Mathematics 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 volatility function. Smoothing volatility function is a common practice in extracting the RND function. Theoretically, it can be estimated by differentiating the call prices twice with respect to the strike price if the continuous strike prices are available. This paper focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method. 2016-01-26 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/50027/8/50027new.pdf Bahaludin, Hafizah and Abdullah, Mimi Hafizah (2016) The development of a risk-neutral density estimation method. In: 2016 Applied Mathematics in Science and Engineering International Conference (APPEMSE), 26-28 Jan 2016, Melaka, Malaysia. (Unpublished) http://appemse.com
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Bahaludin, Hafizah Abdullah, Mimi Hafizah The development of a risk-neutral density estimation method
description	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 volatility function. Smoothing volatility function is a common practice in extracting the RND function. Theoretically, it can be estimated by differentiating the call prices twice with respect to the strike price if the continuous strike prices are available. This paper focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method.
format	Conference or Workshop Item
author	Bahaludin, Hafizah Abdullah, Mimi Hafizah
author_facet	Bahaludin, Hafizah Abdullah, Mimi Hafizah
author_sort	Bahaludin, Hafizah
title	The development of a risk-neutral density estimation method
title_short	The development of a risk-neutral density estimation method
title_full	The development of a risk-neutral density estimation method
title_fullStr	The development of a risk-neutral density estimation method
title_full_unstemmed	The development of a risk-neutral density estimation method
title_sort	development of a risk-neutral density estimation method
publishDate	2016
url	http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/ http://irep.iium.edu.my/50027/8/50027new.pdf
first_indexed	2023-09-18T21:10:42Z
last_indexed	2023-09-18T21:10:42Z
_version_	1777411233036632064

The development of a risk-neutral density estimation method

Similar Items