Summary statistics of option-implied probability density functions and their properties
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References listed on IDEAS
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- Hansen, Stephen & McMahon, Michael & Velasco Rivera, Carlos, 2014. "Preferences or private assessments on a monetary policy committee?," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 16-32.
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More about this item
KeywordsOptions; implied probability density functions (pdfs); summary statistics; implied volatility; implied asymmetry; market expectations.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
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