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 v...

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Main Authors:	Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format:	Article
Language:	English English
Published:	Medwell Journals 2016
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf

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recordtype	eprints
spelling	iium-543812019-12-23T07:05:06Z http://irep.iium.edu.my/54381/ 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 study focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method. Medwell Journals 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf application/pdf en http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf Bahaludin, Hafizah and Abdullah, Mimi Hafizah (2016) The development of a risk-neutral density estimation method. Journal of Engineering and Applied Sciences, 11 (7). pp. 1633-1638. ISSN 1816-949X http://docsdrive.com/pdfs/medwelljournals/jeasci/2016/1633-1638.pdf 10.3923/jeasci.2016.1633.1638
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English 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 study focuses on the development of the risk-neutral density estimation by using the smoothing implied volatility smile method.
format	Article
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
publisher	Medwell Journals
publishDate	2016
url	http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/ http://irep.iium.edu.my/54381/1/the%20development%20of%20a%20risk-neutral%20density%20estimation%20method_2016%20journal%20of%20engineering%20and%20applied%20sciences.pdf http://irep.iium.edu.my/54381/7/54381_The%20development%20of%20a%20risk-neutral_SCOPUS.pdf
first_indexed	2023-09-18T21:16:56Z
last_indexed	2023-09-18T21:16:56Z
_version_	1777411625275359232

The development of a risk-neutral density estimation method

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