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  • Search: subject:"probability density forecasting"
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Year of publication
Subject
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Asset prices 2 derivatives 2 expectations 2 option-implied density 2 options 2 probability density forecasting 2 probability measure 2 risk premia 2 CAPM 1 Derivat 1 Derivative 1 Estimation 1 Forecasting model 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Probability theory 1 Prognoseverfahren 1 Risikoprämie 1 Risk premium 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Volatility 1 Volatilität 1 Wahrscheinlichkeitsrechnung 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Noss, Joseph 2 Vincent-Humphreys, Rupert de 1 de Vincent-Humphreys, Rupert 1
Institution
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Bank of England 1
Published in...
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Bank of England working papers 1 Working papers / Bank of England 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
de Vincent-Humphreys, Rupert; Noss, Joseph - Bank of England - 2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral’ probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse,...
Persistent link: https://www.econbiz.de/10009024818
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Cover Image
Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
Saved in:
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