Extraction of market expectations from risk-neutral density
Year of publication: |
2015
|
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Authors: | Arnerić, Josip ; Aljinović, Zdravka ; Poklepović, Tea |
Published in: |
Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu. - Rijeka, ISSN 1331-8004, ZDB-ID 1283037-9. - Vol. 33.2015, 2, p. 235-256
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Subject: | Market expectation | risk-neutral density | mixture of log-normals | Black-Scholes Merton | generalized beta | maturity horizon | DAX index options | Erwartungsbildung | Expectation formation | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Schätzung | Estimation | Index-Futures | Index futures | Optionsgeschäft | Option trading |
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