Wavelet improved option-implied moments: an empirical study

• Main Authors: Harun, Hanani Farhah, Abdullah, Mimi Hafizah
• Format: Article
• Language: English; English
• Published: Akademi Sains Malaysia 2019
• Subjects: Q Science (General); T Technology (General)
• Online Access: http://irep.iium.edu.my/82127/1/82127_Wavelet%20improved%20option-implied.pdf; http://irep.iium.edu.my/82127/2/82127_Wavelet%20improved%20option-implied_SCOPUS.pdf; http://irep.iium.edu.my/82127/; https://www.akademisains.gov.my/asmsj/article/wavelet-improved-option-implied-moments-an-empirical-study/

This study investigates the performance of option-implied moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM) with an improvement using wavelet transform. So far, little attention has been paid in utilising continuous wavelet transform in denoising the option-implied moments, especial...