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Estimating the Probability Distribution of the Future Exchange Rate from Option Prices · Study

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ArticleEstimating the Probability Distribution of the Future Exchange Rate from Option Prices

Allan M. Malz1997

Article1997

Estimating the Probability Distribution of the Future Exchange Rate from Option Prices

239 citations·0/0 files stored·The Journal of Derivatives

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1983Foreign currency option values 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis 1997New Techniques to Extract Market Expectations from Financial Instruments

Cited by

2010Estimating the Implied Risk‐Neutral Density for the US Market Portfolio*1999A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns 2004Option-Implied Risk-Neutral Distributions and Risk Aversion 2015Investor attention and FX market volatility 2008Measuring and Analyzing Sovereign Risk with Contingent Claims 2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 2003Estimation of risk-neutral densities using positive convolution approximation

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2000Reading the smile: the message conveyed by methods which infer risk neutral densitiesarticle · 6 shared references 2013Forecasting with Option-Implied Informationchapter · 6 shared references 2003DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATIONarticle · 6 shared references 2003Estimation of risk-neutral densities using positive convolution approximationarticle · 5 shared references 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Reviewpreprint · 5 shared references 2007Estimating option implied risk‐neutral densities using spline and hypergeometric functionsarticle · 5 shared references

Details

Year1997

Typearticle

Published1997-11-30

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations239

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.3905/jod.1997.407988

openalex_workW1993301979

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2010

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