Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258)
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scientific article; zbMATH DE number 6610559
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| English | Estimation of objective and risk-neutral distributions based on moments of integrated volatility |
scientific article; zbMATH DE number 6610559 |
Statements
Estimation of objective and risk-neutral distributions based on moments of integrated volatility (English)
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10 August 2016
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realized volatility
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implied volatility
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volatility risk premium
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moments of integrated volatility
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objective distribution
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risk-neutral distribution
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0.8978441
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0.89098954
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0.88630074
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0.8836091
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0.8797448
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0.87738925
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0.87490547
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0.8709016
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0.86903775
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