The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/11350 |
| Date | January 2010 |
| Creators | Pillay, Aveshen |
| Contributors | Hassan, Shakill |
| Publisher | University of Cape Town, Faculty of Commerce, Division of Actuarial Science |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MPhil |
| Format | application/pdf |
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