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A simple time-consistent model for the forward density process
Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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Interest rate forecasts, state price densities and risk premium from Euribor options
Ivanova, Vesela; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 48 (2014), pp. 210-223
Persistent link: https://www.econbiz.de/10010508142
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Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"
Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38
Persistent link: https://www.econbiz.de/10009580803
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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
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Testing the martingale restriction for option implied densities
Busch, Thomas (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
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Equity Return Forecasting Using Risk-Neutral Option-Implied Moments
Filion, Charles-Gabriel - 2020
Using OptionMetrics implied volatility surfaces for a sample of S&P 100 constituent stocks as of April 29, 2016, with …
Persistent link: https://www.econbiz.de/10012823879
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Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Hanke, Michael - 2020
Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...
Persistent link: https://www.econbiz.de/10012854895
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The effect of option-implied skewness on delta- and vega-hedged option returns
Borochin, Paul; Wu, Zekun; Zhao, Yanhui - In: Journal of international financial markets, … 74 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012803250
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Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions
Ñíguez, Trino-Manuel; Perote, Javier - In: Oxford bulletin of economics and statistics 74 (2012) 4, pp. 600-627
Persistent link: https://www.econbiz.de/10010219893
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Market implied GDP
Ntantanis, Harris; Pohlman, Lawrence - In: The journal of asset management 21 (2020) 7, pp. 636-646
Persistent link: https://www.econbiz.de/10012421089