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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
Keller, Joachim G.; Craig, Ben R. - 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/10010295724
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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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The forecast ability of risk-neutral densities of foreign exchange
Craig, Ben R.; Keller, Joachim - 2005
We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities...
Persistent link: https://www.econbiz.de/10010295898
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The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - Deutsche Bundesbank - 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/10005083114
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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 forecast ability of risk-neutral densities of foreign exchange
Craig, Ben R.; Keller, Joachim - Deutsche Bundesbank - 2005
We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities...
Persistent link: https://www.econbiz.de/10005082756
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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 Forecast Ability of Risk-Neutral Densities of Foreign Exchange
Craig, Ben R. - 2016
Persistent link: https://www.econbiz.de/10012989325