A Comparative Study on KOSPI 200 Index State Price Density

Korean Journal of Financial Studies 2005;34(2):153-180.
Published online May 31, 2005.

KOSPI 200 지수의 상태 가격 밀도 비교 분석

이인형, 이준행

Key Words: 변동성 스마일,비모수 커널 밀도 추정,상태 가격,위험 중립,Girsanov 정리,Girsanov`s theorem,Non-parametric kernel density estimation,Risk neutral,State price,Volatility smile

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