The Forecast Ability of Risk-Neutral Densities of Foreign Exchange
48 Pages Posted: 8 Jun 2016
There are 2 versions of this paper
The Forecast Ability of Risk-Neutral Densities of Foreign Exchange
FRB of Cleveland Working Paper No. 04-09
Number of pages: 35
Posted: 30 Oct 2007
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94
Date Written: 2005
Abstract
We estimate the process underlying the pricing of American options by
Keywords: Risk-neutral densities from option prices, American exchange, Risk-neutral densities from option prices, American exchange rate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation
JEL Classification: F47, C63, F31, C52
Suggested Citation: Suggested Citation
Craig, Ben R. and Keller, Joachim, The Forecast Ability of Risk-Neutral Densities of Foreign Exchange (2005). Bundesbank Series 2 Discussion Paper No. 2005,05, Available at SSRN: https://ssrn.com/abstract=2793963 or http://dx.doi.org/10.2139/ssrn.2793963
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