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Author: | Nikkinen, J. |
Title: | Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market |
Journal: | International Review of Financial Analysis
2003 : VOL. 12:2, p. 99-116 |
Index terms: | Models Statistical methods Stock markets Finland |
Language: | eng |
Abstract: | The normality of the risk-neutral density is statistically assessed testing restrictions regarding the skewness and kurtosis of the implied distribution and by applying the traditional test approach involving a comparison of the pricing errors calculated using alternative models. |
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