A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices.
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12502375 |
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| 100 | 1 | |a Cheng, Kevin C. |0 http://id.loc.gov/authorities/names/no2003024950 | |
| 245 | 1 | 2 | |a A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices. |
| 260 | |a Washington : |b International Monetary Fund, |c 2010. | ||
| 300 | |a 1 online resource (46 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Theoretical Background and Existing Methodologies; A. Theoretical Background; B. Existing Estimation Methods; III. The Multi-Lognormal Approach with Restrictions; A. The Framework; B. Useful Restrictions and Initial Condition; IV. Applications; A. The Setup; 1. Futures Contracts Specification; 1. Annualized Average Daily Returns and Return Volatilities; B. Results; 2a. Fan Charts for Selected Commodities (as a March 24-25, 2010); 2b. Fan Charts for Selected Financial Instruments (as a March 24-25, 2010). | |
| 505 | 8 | |a 2. Outlook for Major Commodity and Financial Prices as of March 24-25, 20103a. Probability Density Functions for 3-month ahead (or closest) Contracts.; 3b. Probability Density Functions for 3-month ahead (or closest) Contracts; 3c. Probability Density Functions for 9-month (or closest) ahead Contracts; 3d. Probability Density Functions for 9-month (or closest) ahead Contracts; 4a. Commodities: Ratio of Risk-Neutral Probability to Risk-Averse Probability; 4b. Financial Securities: Ratio of Risk-Neutral Probability to Risk-Averse Probability. | |
| 505 | 8 | |a 3a. Statistical Properties for Three-Month Contracts or Closest3b. Statistical Properties for Eight- or Nine-Month Contracts or Closest; C. Caveats; 4. Sum of Squared Errors for the Monte Carlo Study with 10,000 simulations; V.A Monte-Carlo Simulation; VI. Conclusion and Further Studies; References; Footnotes. | |
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 650 | 0 | |a Stock options |x Prices |x Mathematical models. | |
| 650 | 0 | |a Options (Finance) |x Prices |x Mathematical models. | |
| 650 | 6 | |a Options d'achat d'actions |x Prix |x Modèles mathématiques. | |
| 650 | 6 | |a Options (Finances) |x Prix |x Modèles mathématiques. | |
| 650 | 7 | |a Options (Finance) |x Prices |x Mathematical models. |2 fast |0 (OCoLC)fst01046902 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 776 | 0 | 8 | |i Print version: |a Cheng, Kevin C. |t A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices. |d Washington : International Monetary Fund, ©2010 |z 9781455202157 |
| 830 | 0 | |a IMF Working Papers. | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2010/181/001.2010.issue-181-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG6042.C44 2010eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2010/181/001.2010.issue-181-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12146611 | ||