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Testing for uncovered interest rate parity : any unfinished business?

Cincibuch, Martin; Vávra, David - 2000

Persistent link: https://www.econbiz.de/10001518779

Recovering an asset's implied PDF from option prices for the case of mixture of lognormal distributions: a technical note

Cincibuch, Martin; Vávra, David - 2000

Persistent link: https://www.econbiz.de/10001608397

Distributions implied by exchange traded options: a ghost's smile?

Cincibuch, Martin - 2002

Persistent link: https://www.econbiz.de/10001743597

Distributions implied by exchange traded options: a ghost's smile? Martin Cincibuch

Cincibuch, Martin - 2001

Persistent link: https://www.econbiz.de/10001608417

Distributions Implied by Exchange Traded Options : A Ghost’s Smile?

Cincibuch, Martin - 2009

A new and easily applicable method for estimating risk neutral distributions (RND) implied by American futures options is proposed. It amounts to inverting the Barone-Adesi and Whaley method (1987) (BAW method) to get the BAW implied volatility smile. Extensive empirical tests show that the BAW...

Persistent link: https://www.econbiz.de/10014201461