Search Results - subject:"implied probability densities"

Recovering probabilistic information from options prices and the underlying

Mizrach, Bruce - 2008

This paper examines a variety of methods for extracting implied probability distributions from option prices and the underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I then consider local volatility functions, both...

Persistent link: https://www.econbiz.de/10010282674

Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2005

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach...

Persistent link: https://www.econbiz.de/10010298266

Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958766

Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Center for Financial Studies - 2005

: Options; Implied Probability Densities; GARCH; Fat-tails; Exchange Rate Mechanism. 1. Introduction A basic insight of … explores two of them: extracting implied probability densities from option prices and volatility modeling of the underlying … Spot Rate 3.1 Implied Probability Densities from Options The basic option pricing framework builds upon the Black …

Persistent link: https://www.econbiz.de/10005022418

Assessing Central Bank Credibility During the EMS Crises : Comparing Option and Spot Market-Based Forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...

Persistent link: https://www.econbiz.de/10010263203