Comparison of volatility function technique for risk-neutral densities estimation.

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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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Bibliographic Details
Main Authors:	Abdullah, Mimi Hafizah, Bahaludin, Hafizah
Format:	Proceeding Paper
Language:	English English
Published:	2016
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/52365/ http://irep.iium.edu.my/52365/3/sksm%2024%20full%20paper.pdf http://irep.iium.edu.my/52365/13/52365_cover%20page%20syposium%20mathematic%20backup%20backup.pdf

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