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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Event-related exchange-rate forecasts combining information from betting quotes and option prices
Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2663-2683
Persistent link: https://www.econbiz.de/10012128877
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …
Persistent link: https://www.econbiz.de/10011577049
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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The Empirical Performance of Option Based Densities of Foreign Exchange
Craig, Ben R. - 2016
Persistent link: https://www.econbiz.de/10012991281
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Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Hanke, Michael - 2020
Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...
Persistent link: https://www.econbiz.de/10012854895
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Informationsgewinnung aus Optionspreisen : Eine empirische Analyse des US-Dollar/Euro-Wechselkurses
Locht, Nicole van de - 2009
Grundlagen der Optionspreistheorie -- Extrahierung der risikoneutralen Wahrscheinlichkeitsdichtefunktion …
Persistent link: https://www.econbiz.de/10014015223
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Informationsgewinnung aus Optionspreisen : eine empirische Analyse des US-Dollar/Euro-Wechselkurses
Locht, Nicole van de - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003823547