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

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

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from … the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from … the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …

period 1995–2012 and find that its probability density functions (PDFs) obey the rule Pc(x)=K(x−μ)e−(x−μ)22σ2. We also find …

The statistics that summarise probability density functions(pdfs) implied from option prices can be used to assess …

precipitation data at the Sooke Reservoir in British Columbia, Canada, for evidence of climate change. We fit probability density … functions (PDFs) to the data and find evidence of a structural break in the data generating process by using the Andrews …

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