Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar

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: Guillermo Benavides Perales, Israel Felipe Mora Cuevas
Format: Article
Language:English
Published: Universidad Autónoma de Nuevo León, Facultad de Economía 2008-05-01
Series:Ensayos Revista de Economía
Subjects:
currency option implied volatility
exchange rate
parametric methods
non-parametric methods
risk-neutral densities.
Online Access:http://ensayos.uanl.mx/index.php/ensayos/article/view/104

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