Bedoui, Rihab; Hamdi, Haykel - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2010
This paper compares the goodness-of-fit of eight option-based approaches used to extract risk-neutral probability density functions from a high-frequency CAC 40 index options during a normal and troubled period. Our findings show that the kernel estimator generates a strong volatility smile with...