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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 applie...

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書目詳細資料
Main Authors:	Bahaludin, Hafizah, Abdullah, Mimi Hafizah
格式:	Conference or Workshop Item
語言:	English English
出版:	2016
主題:	QA Mathematics
在線閱讀:	http://irep.iium.edu.my/54103/1/icms4%20full%20paper.pdf http://irep.iium.edu.my/54103/2/icsm4%20abstract%20n%20schedule.pdf http://irep.iium.edu.my/54103/ http://conference.ukm.my/ICMS4/ICMS4/paper/view/3642
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