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...
Saved in:
Main Authors: | , |
---|---|
Format: | Conference or Workshop Item |
Language: | English English |
Published: |
2016
|
Subjects: | |
Online Access: | http://irep.iium.edu.my/54103/1/icms4%20full%20paper.pdf http://irep.iium.edu.my/54103/2/icsm4%20abstract%20n%20schedule.pdf http://irep.iium.edu.my/54103/ http://conference.ukm.my/ICMS4/ICMS4/paper/view/3642 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Universiti Islam Antarabangsa Malaysia |
Language: | English English |