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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
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Medwell Journals
2016
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| Subjects: | |
| 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 |