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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Bibliographic Details

Main Authors:	Benavides Perales, Guillermo, Mora Cuevas, Israel Felipe
Format:	Article
Language:	Spanish
Published:	Universidad Autónoma de Nuevo León 2008
Subjects:	currency option implied volatility exchange rate parametric methods non-parametric methods risk-neutral densities.
Online Access:	https://ensayos.uanl.mx/index.php/ensayos/article/view/104