𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Testing the stability of implied probability density functions

✍ Scribed by Robert R. Bliss; Nikolaos Panigirtzoglou

Book ID
117528367
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
376 KB
Volume
26
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Conditional Probability Density Function
Conditional Probability Density Functions of
✍ X. Sanchez-Vila; A. Guadagnini; D. FernΓ ndez-Garcia πŸ“‚ Article πŸ“… 2008 πŸ› Springer-Verlag 🌐 English βš– 766 KB
Testing of density functions
Testing of density functions
✍ P. RΓ©vΓ©sz πŸ“‚ Article πŸ“… 1971 πŸ› Springer Netherlands 🌐 English βš– 338 KB
What moves the tail? The determinants of
What moves the tail? The determinants of the option-implied probability density function of the DAX index
✍ Ernst Glatzer; Martin Scheicher πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 234 KB

In this article a study of the option-implied probability density function (PDF) of German stock returns is presented. The use of option prices allows for the quantification of the risk-neutral probability of large movements in the DAX index. Using daily data for the period from December 1995 to May