Datta, Deepa Dhume; Londono, Juan M.; Ross, Landon J - Federal Reserve Board (Board of Governors of the … - 2014
We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF...