Estimation of option-implied risk-neutral into real-world density by using calibration function
Option prices contain crucial information that can be used as a reflection of future development of an underlying assets’ price. The main objective of this study is to extract the risk-neutral density (RND) and the risk- world density (RWD) of option prices. A volatility function technique is applie...
| 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/54103/ http://irep.iium.edu.my/54103/ http://irep.iium.edu.my/54103/1/icms4%20full%20paper.pdf http://irep.iium.edu.my/54103/2/icsm4%20abstract%20n%20schedule.pdf |