A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices.

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Bibliographic Details
Author / Creator:	Cheng, Kevin C.
Imprint:	Washington : International Monetary Fund, 2010.
Description:	1 online resource (46 pages).
Language:	English
Series:	IMF Working Papers IMF Working Papers.
Subject:	Stock options -- Prices -- Mathematical models. Options (Finance) -- Prices -- Mathematical models. Options (Finance) -- Prices -- Mathematical models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12502375

Hidden Bibliographic Details
ISBN:	9781455219278 1455219274 1462376924 9781462376926 1282846531 9781282846531 9786612846533 6612846534 1455202150 9781455202157
Notes:	Includes bibliographical references. Print version record.
Summary:	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.
Other form:	Print version: Cheng, Kevin C. A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices. Washington : International Monetary Fund, ©2010 9781455202157

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