Wavelet improved option-implied moments: an empirical study
This study investigates the performance of option-implied moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM) with an improvement using wavelet transform. So far, little attention has been paid in utilising continuous wavelet transform in denoising the option-implied moments, especial...
| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
| Published: |
Akademi Sains Malaysia
2019
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/82127/ http://irep.iium.edu.my/82127/1/82127_Wavelet%20improved%20option-implied.pdf http://irep.iium.edu.my/82127/2/82127_Wavelet%20improved%20option-implied_SCOPUS.pdf |