Bookcover of Risk Neutral Density Estimations
Booktitle:

Risk Neutral Density Estimations

Literature Review and Empirical Analysis

AV Akademikerverlag (2015-02-26 )

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ISBN-13:

978-3-639-79146-4

ISBN-10:
3639791460
EAN:
9783639791464
Book language:
English
Blurb/Shorttext:
This book describes existing approaches that estimate risk-neutral density functions (RND)implied by option prices and provides an empirical comparison of some of these methods on illustrative basis. The theoretical option-pricing background is well introduced in Chapter 2 and used as foundation for the ongoing discussion of the different estimation procedures in the following chapters. The literature review is comprehensive with respect to the inclusion and discussion of a large number of different estimation procedures. Moreover, this work offers an adequate contribution by applying and comparing existing RND estimation procedures for Euro Stoxx 50 index options.
Publishing house:
AV Akademikerverlag
Website:
http://www.akademikerverlag.de/
By (author) :
Albina Mustafayeva
Number of pages:
84
Published on:
2015-02-26
Stock:
Available
Category:
Economics
Price:
23.90 €
Keywords:
Implied volatility, Risk-neutral Valuation, RND, state pricing, valuation models, Black&Scholes, Non-parametric Methods, Parametric methods, Log-normal Distribution, martingale measure

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