Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
Download full text from publisher
References listed on IDEAS
- Prasanna Gai & Nicholas Vause, 2006. "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
- Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
- Inkinen, Mika & Stringa, Marco & Voutsinou, Kyriaki, 2010. "Interpreting equity price movements since the start of the financial crisis," Bank of England Quarterly Bulletin, Bank of England, vol. 50(1), pages 24-33.
- Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
- Michel Dacorogna & Juan-José Francisco Miguelez & Marie Kratz, 2016. "Risk neutral versus real-world distribution on puclicly listed bank corporations," Working Papers hal-01373071, HAL.
- repec:eee:intfor:v:33:y:2017:i:3:p:707-728 is not listed on IDEAS
- Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org.
- Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017.
"Evaluation of exchange rate point and density forecasts: An application to Brazil,"
International Journal of Forecasting,
Elsevier, vol. 33(3), pages 707-728.
- Wagner Piazza Gaglianone & Gabriel Jaqueline Terra Moura Marins, 2016. "Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil," Working Papers Series 446, Central Bank of Brazil, Research Department.
- 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.
More about this item
KeywordsAsset prices; derivatives; expectations; options; option-implied density; risk premia; probability density forecasting; probability measure;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
- NEP-FOR-2012-07-08 (Forecasting)
- NEP-UPT-2012-07-08 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:boeewp:0455. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Media Team). General contact details of provider: http://edirc.repec.org/data/boegvuk.html .