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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.
- Format: Pocket/Paperback
- ISBN: 9783639791464
- Språk: Engelska
- Antal sidor: 84
- Utgivningsdatum: 2015-02-26
- Förlag: AV Akademikerverlag