Perales, Guillermo Benavides; Cuevas, Israel Felipe Mora - In: Ensayos Revista de Economia XXVII (2008) 1, pp. 33-52
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...
