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Risk Neutral Density Estimations
Literature Review and Empirical Analysis
- Editore:
AV Akademikerverlag
- EAN:
9783639791464
- ISBN:
3639791460
- Pagine:
- 84
- Formato:
- Paperback
- Lingua:
- Tedesco
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Descrizione Risk Neutral Density Estimations
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.
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