AV Akademikerverlag ( 26.02.2015 )
€ 23,90
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.
Buch Details: |
|
ISBN-13: |
978-3-639-79146-4 |
ISBN-10: |
3639791460 |
EAN: |
9783639791464 |
Buchsprache: |
English |
von (Autor): |
Albina Mustafayeva |
Seitenanzahl: |
84 |
Veröffentlicht am: |
26.02.2015 |
Kategorie: |
Wirtschaft |