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Extracting Risk Neutral Probability Distributions From Option Prices Using Trading Volume As A Filter
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Book Synopsis Extracting Risk-neutral Probability Distributions from Option Prices Using Trading Volume as a Filter by : Dominique Y. Dupont
Download or read book Extracting Risk-neutral Probability Distributions from Option Prices Using Trading Volume as a Filter written by Dominique Y. Dupont and published by . This book was released on 2001 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option-Implied Risk-Neutral Distributions and Risk Aversion by : Jens Carsten Jackwerth
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option-Implied Probability Distributions and Currency Excess Returns by : Allan M. Malz
Download or read book Option-Implied Probability Distributions and Currency Excess Returns written by Allan M. Malz and published by . This book was released on 2006 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a method of extracting the risk-neutral probability distribution of future exchange rates from option prices. In foreign exchange markets interbank option pricing conventions make possible reliable inferences about risk-neutral probability distributions with relatively little data. Moments drawn from risk-neutral exchange rate distribution are used to explore several issues related to the puzzle of excess returns in currency markets. Tests of the international capital asset pricing model using risk-neutral moments as explanatory variables indicate that option-based moments have considerably greater explanatory power for excess returns in currency markets than has been found in earlier work. Tests of several hypotheses generated by the peso problem approach indicate that jump risk measured by the risk-neutral coefficient of skewness can explain only a small part of the forward bias. These tests take into account not only the second, but the third and fourth moments of the exchange rate implied by option prices, and avoid testing a joint hypothesis including a distributional assumption.
Book Synopsis Deriving Trading Strategies from Option-implied Risk Neutral Probability Distributions by : Warren Deats
Download or read book Deriving Trading Strategies from Option-implied Risk Neutral Probability Distributions written by Warren Deats and published by . This book was released on 2000 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Toward a General Theory of Exchange by : Javaid R. Khwaja
Download or read book Toward a General Theory of Exchange written by Javaid R. Khwaja and published by iUniverse. This book was released on 2013 with total page 595 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new economy, under the impetus of the ever-widening outreach of the Internet, is undergoing a transition. In the meantime, there's also been a shift to the information paradigm, with its emphasis on lack of foresight. These processes have almost completely supplanted the concept of market that was once one of the most cardinal features of conventional economic theory. In Toward a General Theory of Exchange: Strategic Decisions and Complexity, author Dr. Javaid R. Khwaja traces the slow melting of the market, the most ubiquitous contraption and the summum bonum of economic science, as an organized manifestation of complexity, with its wide-ranging impact on the flow of funds. Using the historical background of economic theories, this study blends the interdisciplinary range and fills the vacuum that has existed among current conventional economic theory, the theory of strategic decision making, actor-network theory, the domain of law and economics, and the science of complexity. An observer of economic development for several decades, Khwaja shows the relationship between technology and economics and how it affects social exchanges and trends.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-10-24 with total page 1386 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Analysis of Option Implied Probability Distributions by : Jessica List
Download or read book Analysis of Option Implied Probability Distributions written by Jessica List and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis empirically analyses implied risk neutral probability distributions of SMI index options. The contribution of this thesis is its data base (SMI index options), the long observation period (1999 - 2008) and its attempt to use the framework of option implied risk neutral probability distributions in the context of trading strategies. The influence of important market variables (such as the risk premium and the term structure of Swiss interest rates) on the estimated RNDs summary statistics is analysed in a regression framework accounting for heteroscedasticity and autocorrelation of the variables under consideration. It turns out that most of the analysed domestic market variables do not have a significant influence on the calculated implied RND's summary statistics and no significant international spillovers are observable. In addition, option implied moments, in particular the volatility of the implied RND, seem to be poor predictors for future moments of the SMI return distribution. Trading strategies based on option implied information are implemented. After accounting for transaction costs, some of these strategies are not only able to outperform a direct investment in the underlying, but systematically outperformed comparable trading strategies based on spot prices.
Book Synopsis Extracting Risk-Neutral Density and Its Moments from American Option Prices by : Yisong S. Tian
Download or read book Extracting Risk-Neutral Density and Its Moments from American Option Prices written by Yisong S. Tian and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been a surge in the use of option-implied moments (e.g., volatility, skewness and kurtosis) in various empirical applications such as volatility forecasting, variance risk premium, empirical asset pricing, and portfolio selection. One potential obstacle in such applications is the requirement of European option prices in the estimation of these moments. In this paper, we develop a simple, accurate method for extracting risk-neutral density and its moments from American option prices. A key advantage of our approach is that a single implied binomial tree is constructed to fit all American option prices, utilizing the full information set in the entire options market. Since American options are more commonly traded than European options, our methodology expands the scope of research on option-implied density and moments to a much wider class of underlying assets (e.g., equity and futures options).
Book Synopsis Option Implied Risk-Neutral Distributions and Implied Binomial Trees by : Jens Carsten Jackwerth
Download or read book Option Implied Risk-Neutral Distributions and Implied Binomial Trees written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review the numerous methods of recovering risk-neutral probability distributions from option prices at one particular time-to-expiration and their applications. Next, we extend our attention beyond one time-to-expiration to the construction of implied binomial trees, which model the stochastic process of the underlying asset. Finally, we describe extensions of implied binomial trees, which incorporate stochastic volatility, as well as other non-parametric methods.
Book Synopsis Are We Extracting the True Risk Neutral Density from Option Prices? A Question with No Easy Answer by : James Huang
Download or read book Are We Extracting the True Risk Neutral Density from Option Prices? A Question with No Easy Answer written by James Huang and published by . This book was released on 2009 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we raise a question on the theoretical foundation of option implied risk neutral density. We prove that given any number of options, there exist numerous risk neutral densities which are piecewise constant, have only two values, either an lower bound or an upper bound on the true risk neutral density, and price all these options correctly. We also prove that given any number of options, there exist numerous risk neutral densities consistent with the prices of all these options whose first derivatives are piecewise constant and have only two values, either an lower bound or an upper bound on the true risk neutral density's first derivative. Similar results are proved with respect to the true risk neutral density's higher order derivatives. These results show how large errors we can make when extracting RNDs from option prices.
Book Synopsis Opposition Through the Backdoor? by : Gerda Falkner
Download or read book Opposition Through the Backdoor? written by Gerda Falkner and published by . This book was released on 2002 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unraveling the Central State, But How? by : Liesbet Hooghe
Download or read book Unraveling the Central State, But How? written by Liesbet Hooghe and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Open is 'open as Possible'? by : Cornelia Moser
Download or read book How Open is 'open as Possible'? written by Cornelia Moser and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis What's in a Convention? by : Jo Shaw
Download or read book What's in a Convention? written by Jo Shaw and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Much Ado about Nothing? by : Christine Neuhold
Download or read book Much Ado about Nothing? written by Christine Neuhold and published by . This book was released on 2001 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The previously neglected phenomenon of governance by committees has recently received increasing attention in the academic literature. This paper focuses on the consequences of the arrangements prevailing in the committees active in the implementing phase of EU-legislation on the practice of democracy and legitimacy. The so-called 'comitology committees' can be seen as a good example of the tension between input- and output-based sources of legitimacy. On the one hand the EP has demanded its increased involvement in this system ever since these committees were established. On the other hand (preliminary) studies have shown that Members of the European Parliament seem to be overwhelmed with the scrutiny or even the filing of draft implementing measures. This gives rise to the question of increasing the legitimacy of committee work and at the same time preserving the'efficiency' of this (presumably) co-operative form of decision making. This phenomenon is illustrated by means of a case study of committees active in the field of health and consumer protection.
Download or read book Governance written by B. Guy Peters and published by . This book was released on 2002 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Globalization written by Bob Jessop and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
