Comparison of Volatility Function Technique for Risk-Neutral Densities Estimation

Bahaludina, H; Abdullahb, MH

Bahaludina, H (reprint author), Kulliyyah Sci Int Islamic Univ Malaysia, Dept Computat & Theoret Sci, Bandar Indera Mahkota Campus, Kuantan 25200, Pahang, Malaysia.

PROCEEDINGS OF THE 24TH NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM24): MATHEMATICAL SCIENCES EXPLORATION FOR THE UNIVERSAL PRESERVATI, 2017; 1870 ( ):

Abstract

Volatility function technique by using interpolation approach plays an important role in extracting the risk-neutral density (RND) of options. The aim......

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