Abstract
For empirical applications one of the techniques reviewed in Chapter 5 must be selected. In taking this decision an important criterion is whether or not different techniques produce similar results for the risk-neutral density. If this is the case, the choice of technique will not be a major problem but otherwise the results of the application will depend heavily on the approach used. Another relevant issue when choosing between the various approaches relates to implementation problems. Depending on the data set for some techniques, problems are often encountered in the convergence of the optimization algorithm.
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© 2003 Springer-Verlag Berlin Heidelberg
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Mandler, M. (2003). The Advantages and Disadvantages of Selected Techniques. In: Market Expectations and Option Prices. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57428-3_6
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DOI: https://doi.org/10.1007/978-3-642-57428-3_6
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-0049-4
Online ISBN: 978-3-642-57428-3
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