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 appli...
| Main Authors: | , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
American Institute of Physics
2017
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/57989/ http://irep.iium.edu.my/57989/ http://irep.iium.edu.my/57989/ http://irep.iium.edu.my/57989/13/57989%20Estimation%20of%20option-implied%20risk-neutral%20into%20real-world.pdf http://irep.iium.edu.my/57989/7/57989_Estimation%20of%20option-implied%20risk-neutral_SCOPUS.pdf |
Internet
http://irep.iium.edu.my/57989/http://irep.iium.edu.my/57989/
http://irep.iium.edu.my/57989/
http://irep.iium.edu.my/57989/13/57989%20Estimation%20of%20option-implied%20risk-neutral%20into%20real-world.pdf
http://irep.iium.edu.my/57989/7/57989_Estimation%20of%20option-implied%20risk-neutral_SCOPUS.pdf