Download This PaperThe Forecasting Performance of German Stock Option Densities
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The Forecasting Performance of German Stock Option Densities
FRB of Cleveland Working Paper No. 03-12
Number of pages: 34
Posted: 01 Nov 2007
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130
Date Written: 2003
Abstract
In this paper we will be estimating risk-neutral densities (RND) for the
In dieser Arbeit werden "risikoneutrale" Dichtefunktionen über künftige DAXIndexstände
Keywords: option prices, risk-neutral density, density evaluation, overlapping data
JEL Classification: G13, G15, C52, C22
Suggested Citation: Suggested Citation
Craig, Ben R. and Glatzer, Ernst and Keller, Joachim and Scheicher, Martin, The Forecasting Performance of German Stock Option Densities (2003). Bundesbank Series 1 Discussion Paper No. 2003,17, Available at SSRN: https://ssrn.com/abstract=2785203 or http://dx.doi.org/10.2139/ssrn.2785203
Martin Scheicher
European Central Bank (ECB) ( email )
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