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Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques
Andersson, Magnus; Lomakka, Magnus - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10010321351
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - In: Journal of banking & finance 29 (2005) 6, pp. 1535-1557
Persistent link: https://www.econbiz.de/10002718152
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Share-index options as forward-looking indicators
Lomakka, Magnus - In: Sveriges Riksbank economic review (2001) 3, pp. 69-80
Persistent link: https://www.econbiz.de/10001623920
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Evaluating Implied Rnds by Some New Confidence Interval Estimation Techniques
Andersson, Magnus - 2009
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10012721664
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10011585327
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - In: Journal of Banking & Finance 29 (2005) 6, pp. 1535-1557
Persistent link: https://www.econbiz.de/10005201009
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - In: Journal of banking & finance 29 (2005) 6, pp. 1535-1558
Persistent link: https://www.econbiz.de/10005881590
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Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques
Andersson, Magnus; Lomakka, Magnus - Sveriges Riksbank - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10005649035