Comparison of volatility function technique for risk-neutral densities estimation
Volatility function technique by using interpolation approach plays an important role in extracting the risk-neutral density (RND) of options. The aim of this study is to compare the performances of two interpolation approaches namely smoothing spline and fourth order polynomial in extracting the RN...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
American Institute of Physics
2017
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/57987/8/57987-Comparison%20of%20Volatility.pdf http://irep.iium.edu.my/57987/14/Comparison%20of%20volatility%20function%20technique%20for%20risk-neutral%20densities%20estimation.pdf http://irep.iium.edu.my/57987/ http://aip.scitation.org/doi/10.1063/1.4995905 |
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| Institution: | Universiti Islam Antarabangsa Malaysia |
| Language: | English English |