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No-arbitrage option pricing : new evidence on the validity of the martingale property

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A causality-in-variance test and its application to financial market prices

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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]

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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

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...