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Recovering risk-neutral densities from exchange rate options : evidence in Turkey

Aydin, Halil Ibrahim; Değ̆erli, Ahmet; Özlü, Pınar - 2010

Persistent link: https://www.econbiz.de/10003956043

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632

Persistent link: https://www.econbiz.de/10009710479

Testing the martingale restriction for option implied densities

Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81

Persistent link: https://www.econbiz.de/10003829557

Testing the martingale restriction for option implied densities

Busch, Thomas (contributor) - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002491622

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

Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...