Extraction of market expectations from risk-neutral density
The purpose of this paper is to investigate which of the proposed parametric models for extracting risk-neutral density; among Black-Scholes Merton, mixture of two log-normals and generalized beta; give the best fit. The model that fits sample data better is used to describe different characteris...
| Main Authors: | , , |
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| Format: | Article |
| Language: | deu |
| Published: |
Faculty of Economics University of Rijeka
2015-12-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| Subjects: | |
| Online Access: | http://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/03-arneric-poklepovic-aljinovic-2015-2-1452518018.pdf |