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https://hdl.handle.net/10356/7728| Title: | Forecasts of future option prices derived from risk neutral probability density function using evolution algorithm. | Authors: | The, Khim Swee. Xu, Xiaoxi. |
Keywords: | DRNTU::Business::Finance::Options | Issue Date: | 2003 | Abstract: | The approach detailed by Malz (1997) was used to extract the risk neutral probability density function of Hong Kong Hang Seng Index (HSI) from the prices of its options. Results obtained from option price quotations for contracts traded from January 2000 to December 2001 are reported for estimating the market ex ante risk-neutral probability density function. | URI: | http://hdl.handle.net/10356/7728 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Theses |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_635.pdf Restricted Access | 3.22 MB | Adobe PDF | View/Open |
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