Verfügbarkeit: A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices:

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper propo...

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1. Verfasser:	Cheng, Kevin C. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2010
Schriftenreihe:	IMF Working Papers Working Paper No. 10/181
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra's original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S&P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach
Beschreibung:	1 Online-Ressource (31 p)
ISBN:	1455202150 9781455202157

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spelling	Cheng, Kevin C. Verfasser aut A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices Cheng, Kevin C Washington, D.C International Monetary Fund 2010 1 Online-Ressource (31 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/181 Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra's original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S&P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach Online-Ausg http://elibrary.imf.org/view/IMF001/11204-9781455202157/11204-9781455202157/11204-9781455202157.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Cheng, Kevin C. A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title_auth	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title_exact_search	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title_exact_search_txtP	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title_full	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices Cheng, Kevin C
title_fullStr	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices Cheng, Kevin C
title_full_unstemmed	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices Cheng, Kevin C
title_short	A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
title_sort	a new framework to estimate the risk neutral probability density functions embedded in options prices
url	http://elibrary.imf.org/view/IMF001/11204-9781455202157/11204-9781455202157/11204-9781455202157.xml
work_keys_str_mv	AT chengkevinc anewframeworktoestimatetheriskneutralprobabilitydensityfunctionsembeddedinoptionsprices

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