Empirical performance of interpolation techniques in risk-neutral density (RND) estimation
The objective of this study is to evaluate the empirical performance of interpolation techniques in risk-neutral density (RND) estimation. Firstly, the empirical performance is evaluated by using statistical analysis based on the implied mean and the implied variance of RND. Secondly, the interpolat...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English English |
| Published: |
Institute of Physics Publishing
2017
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/57287/ http://irep.iium.edu.my/57287/ http://irep.iium.edu.my/57287/ http://irep.iium.edu.my/57287/1/57287_Empirical%20performance%20_complete.pdf http://irep.iium.edu.my/57287/2/57287_Empirical%20performance%20_SCOPUS.pdf http://irep.iium.edu.my/57287/13/57287%20Empirical%20performance%20of%20interpolation%20techniques%20WOS.pdf |