Comparison of volatility function technique for risk-neutral densities estimation.
Volatility function technique by using interpolation approach plays an important role in extracting the risk-neutral density (RND) of options. The aim of this study is to compare the performances of two interpolation approaches namely smoothing spline and fourth order polynomial in extracting the RN...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/52365/ http://irep.iium.edu.my/52365/ http://irep.iium.edu.my/52365/3/sksm%2024%20full%20paper.pdf http://irep.iium.edu.my/52365/13/52365_cover%20page%20syposium%20mathematic%20backup%20backup.pdf |