Research Output | Dar Al-hikmah Library | IIUM Only
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, especially within the model-free hybrid framework. Thus, t