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Evaluating implied RNDs by some new confidence interval estimation techniques

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  • Andersson, Magnus
  • Lomakka, Magnus

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  • Andersson, Magnus & Lomakka, Magnus, 2005. "Evaluating implied RNDs by some new confidence interval estimation techniques," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1535-1557, June.
    • Handle: RePEc:eee:jbfina:v:29:y:2005:i:6:p:1535-1557
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    References listed on IDEAS

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    1. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
    2. Bates, David S, 1991. "The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 1009-1044, July.
    3. Ritchey, Robert J, 1990. "Call Option Valuation for Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, Winter.
    4. Paul Söderlin, 2000. "Market Expectations in the UK Before and After the ERM Crisis," Economica, London School of Economics and Political Science, vol. 67(265), pages 1-18, February.
    5. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
    6. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
    7. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    8. Robert J. Ritchey, 1990. "Call Option Valuation For Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, December.
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    Cited by:

    1. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017. "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, vol. 64(C), pages 440-457.
    2. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    3. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
    4. Salazar Celis, Oliver & Liang, Lingzhi & Lemmens, Damiaan & Tempère, Jacques & Cuyt, Annie, 2015. "Determining and benchmarking risk neutral distributions implied from option prices," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 372-387.
    5. Seung Hwan Lee, 2014. "Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1857-1879, October.
    6. Ornelas, José Renato Haas, 2016. "The Forecast Ability of Option-implied Densities from Emerging Markets Currencies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.

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