Search Results - subject:"Risk-neutral probability density functions"

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10011605437

Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor

Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - European Central Bank - 2011

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10009367481

Extracting expectations from currency option prices: a comparison of methods

Micu, Marian - Society for Computational Economics - SCE - 2005

This paper compares the goodness-of-fit and the stability of six methods used to extract risk-neutral probability … density functions from currency option prices. We first compare five existing methods commonly employed to recover risk …

Persistent link: https://www.econbiz.de/10005342989

Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR

Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - In: Journal of Banking & Finance 36 (2012) 10, pp. 2804-2823

. For this purpose, it extends the estimation of risk-neutral probability density functions up to tick frequency. In …

Persistent link: https://www.econbiz.de/10010595288

Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000

Mandler, Martin - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) II, pp. 165-189

In recent years various different techniques to uncover the information on market expectations contained in option prices have been developed. This paper applies the technique of fitting a mixture of lognormal densities to LIFFE Euribor futures options to estimate the risk-neutral implied...

Persistent link: https://www.econbiz.de/10005148731