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The economics of options-implied inflation probability density functions

โœ Scribed by Kitsul, Yuriy; Wright, Jonathan H.

Book ID
122935227
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
977 KB
Volume
110
Category
Article
ISSN
0304-405X

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๐Ÿ“œ SIMILAR VOLUMES

What moves the tail? The determinants of
What moves the tail? The determinants of the option-implied probability density function of the DAX index
โœ Ernst Glatzer; Martin Scheicher ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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