Shackleton, Mark B.; Taylor, Stephen J.; Yu, Peng - In: Journal of Banking & Finance 34 (2010) 11, pp. 2678-2693
We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option prices and daily and 5-min index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes which incorporate stochastic volatility. Three...