Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar
This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is a parametric method whilst the latter is a no...
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| Formato: | Artículo |
| Lenguaje: | spa |
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Universidad Autónoma de Nuevo León
2008
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| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/104 |