Estimation of option-implied risk-neutral into real-world density by using calibration function

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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...

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Bibliographic Details
Main Authors:	Bahaludin, Hafizah, Abdullah, Mimi Hafizah
Format:	Proceeding Paper
Language:	English English
Published:	American Institute of Physics 2017
Subjects:	QA Mathematics
Online Access:	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

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