Search Results - subject:"implied risk-neutral density function"

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities

Csávás, Csaba - Magyar Nemzeti Bank (MNB) - 2008

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...

Persistent link: https://www.econbiz.de/10005146790

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities

Csávás, Csaba - 2008

Persistent link: https://www.econbiz.de/10010322462

The information content of risk-neutral densities: tests based on Hungarian currency option-implied densities

Csavas, Csaba - In: The European Journal of Finance 16 (2010) 7, pp. 657-676

In this paper we test the information content of risk-neutral density functions estimated by the method of Malz [1997. Estimating the probability distribution of the future exchange rate from options prices. Journal of Derivatives 5, no. 2: 18-36]. The main question is whether risk-neutral...

Persistent link: https://www.econbiz.de/10008674502