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dc.creator Craig, Ben R.
dc.creator Keller, Joachim
dc.date 2005
dc.date.accessioned 2013-10-16T07:06:33Z
dc.date.available 2013-10-16T07:06:33Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19738
dc.identifier ppn:49845620X
dc.identifier RePEc:zbw:bubdp2:4260
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19738
dc.description We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities that is based on the inverse probability functions and is modified to account for correlation across time between our random variables, which are uniform under the null hypothesis. We find that the densities based on the Americanoption markets for foreign exchange do quite well for the forecasting period over which the options are thickly traded. Further, simple models that fit the densities do about as well as more sophisticated models. Keywords: Risk-neutral densities from option prices, American exchange rate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation, Overlapping data problem
dc.language eng
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2005,05
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F47
dc.subject C63
dc.subject F31
dc.subject C52
dc.subject ddc:330
dc.subject Risk-neutral densities from option prices
dc.subject American exchange rate options
dc.subject Evaluating Density Forecasts
dc.subject Pentionominal tree
dc.subject Density evaluation
dc.subject Devisenoptionsgeschäft
dc.subject Optionspreistheorie
dc.subject Prognoseverfahren
dc.subject Schätzung
dc.subject USA
dc.title The forecast ability of risk-neutral densities of foreign exchange
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط