Empirical performance of interpolation techniques in risk-neutral density (RND) estimation

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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...

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Bibliographic Details
Main Authors:	Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format:	Proceeding Paper
Language:	English English English
Published:	Institute of Physics Publishing 2017
Subjects:	Q Science (General) QA Mathematics QC Physics
Online Access:	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

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