Similar Search Results

The dual jump diffusion model for security prices

Frost, Daniel Allen - 1993

Persistent link: https://www.econbiz.de/10000996118

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

A general approach for modeling the term structure of interest rates : estimation and application

Zhang, Hua - In: Advances in quantitative analysis of finance and … 5 (1997), pp. 61-85

Persistent link: https://www.econbiz.de/10001230054

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...