1. The Forecast Ability of Option-implied Densities from Emerging Markets Currencies. (2016). ORNELAS, JOSE.
   In: Brazilian Review of Econometrics.
   RePEc:sbe:breart:v:36:y:2016:i:1:a:45406.

   Full description at Econpapers || Download paper

2. Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies. (2014). ORNELAS, JOSE ; Jose Renato Haas Ornelas, .
   In: Working Papers Series.
   RePEc:bcb:wpaper:370.

   Full description at Econpapers || Download paper

3. Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options. (2012). ORNELAS, JOSE ; Fajardo, José ; de Farias, Aquiles ; Ornelas, Jose Renato Haas, ; Barbachan, Jose Santiago Fajardo, .
   In: EBAPE Working Papers.
   RePEc:fgv:ebapwp:1.

   Full description at Econpapers || Download paper

4. Recovering Risk-Neutral Densities from Brazilian Interest Rate Options. (2011). ORNELAS, JOSE ; Haas, Jose Renato ; Takami, Marcelo Yoshio.
   In: Brazilian Review of Finance.
   RePEc:brf:journl:v:9:y:2011:i:1:p:9-26.

   Full description at Econpapers || Download paper

1. [1] Abken, Peter A., Madan, Dilip B., and Ramamurtie, Sailesh, (1996), Estimation of Risk-Neutral and Statistical Densities By Hermite Polynomial Approximation: With an Application to Eurodollar Futures Options, Federal Reserve Bank of Atlanta Working Paper 96-5.

2. [10] Ball, Cliord A. and Torous, Walter N., (1983), A Simpli...ed Jump Process for Commom Stock Returns, Journal of Financial and Quantitative Analysis, Vol. 18, pp. 53-65.
   Paper not yet in RePEc: Add citation now
   

3. [11] Ball, Cliord A. and Torous, Walter N., (1985), On jumps in common stock prices and their impact on call option pricing, Journal of Finance, Vol. 42, pp. 301-320.

4. [12] Bates, David S., (1991), The Crash of 87: Was It Expected? The Evidence from Options Markets, Journal of Finance, Vol. 46, pp. 1009-1044, July.

5. [13] Bates, David S., (1996a), Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options, Review of Financial Studies, Vol. 9, No. 1, pp. 69-107.

6. [15] Black, Fischer (1976), The Pricing of Commodity Contracts, Journal of Financial Economics, Vol. 3, pp. 167-179. Extracting expectations from currency option prices: a comparison of methods 31

7. [16] Black, Fischer, and Scholes, Myron, (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, pp. 637-59, May-June.

8. [17] Bliss, Robert R., and Panigirtzoglou, Nikolaos, (2002), Testing the Stability of Implied Probability Density Functions, Journal of Banking and Finance, 26, pp. 381422, March.

9. [18] Bliss, Robert R., and Panigirtzoglou, Nikolaos, (2004), Option-Implied Risk Aversion Estimates, Journal of Fianance, Vol. 59, No. 1, pp. 407-446.

10. [19] Bondarenko, Oleg, (2003), Estimation of Risk-Neutral Densities Using Positive Convolution Approximation, Journal of Econometrics, Vol. 116, pp. 85-112.

11. [2] Akgiray, Vedat, Booth, Georey G., (1988), Mixed diusion-jump process modeling of exchange rate movements, Review of Economics and Statistics, Vol. 70, pp. 631637.

12. [20] Boothe, Paul, and Glassman, Debra, (1987), The statistical distribution of exchange rates, Journal of International Economics, Vol. 22, pp. 297-319.
    Paper not yet in RePEc: Add citation now
    
13. [21] Boyle, Phelim P., (1976), Options: A Monte Carlo approach, Journal of Financial Economics, Vol 4., pp. 323-338.
    Paper not yet in RePEc: Add citation now
    

14. [22] Boyle, Phelim P. and Emanuel, David, (1980), Discretely Adjusted Option Hedges, Journal of Financial Economics, Vol. 8, pp. 259-282.

15. [23] Breeden, Douglas T., and Litzenberger, Robert H., (1978), Prices of state-contingent claims implicit in option prices, Journal of Business, Vol. 51, pp. 621-651, October.

16. [24] Brennan, Michael J., (1979), The pricing of contingent claims in discrete time models , Journal of Finance, Vol. 34, pp. 53-68.

17. [25] Campa, José M., and Chang, Kevin P.H., (1995), Testing the expectations hypothesis of the term structure of volatilities in foreign exchange options, Journal of Finance, Vol. 50, pp. 529-547.

18. [26] Campa, José Manuel, Chang, Kevin P.H., and Reider, Robert, (1998), Implied Exchange Rate Distributions: Evidence from OTC Option Markets, Journal of International Money and Finance, Vol. 17, No. 1, pp. 117-160.

19. [27] Carr, Peter, and Wu, Liuren, (2003), What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, Vol. 58, No. 6, pp. 2581-2610.

20. [28] Coutant, Sophie, (1999), Implied risk aversion in option prices using Hermite polynomials , in Estimating and interpreting probability density functions, Bank for International Settlements.

21. [3] Aït-Sahalia, Yacine, and Lo, Andrew W., (1998), Nonparametric estimation of stateprice densities implied in ...nancial asset prices, Journal of Finance, Vol. 53, pp. 499-547, April.
    Paper not yet in RePEc: Add citation now
    

22. [30] De Vries, Casper G., (1994), Stylized Facts of Nominal Exchange Rate Returns, in Van der Ploeg, Frederick, The Handbook of International Macroeconomics, Blackwell, Oxford.

23. [31] Efron, Bradley and Tibshirani, Robert J., (1993), An Introduction to the Bootstrap, Chapman & Hall, New York. Extracting expectations from currency option prices: a comparison of methods 32
    Paper not yet in RePEc: Add citation now
    

24. [32] Engel, Charles M., and Hamilton, James D., (1990), Long swings in the dollar: are they in the data and do markets know it?, American Economic Review, Vol. 80, pp. 689-713.

25. [33] Galai, Dan, (1983), The Components of the Return from Hedging Options Against Stocks, Journal of Business, Vol. 56, pp. 45-54.

26. [34] Garman, Mark B., and Kohlhagen, Steven W., (1983), Foreign currency option values, Journal of International Money and Finance, Vol. 2, pp. 231-237, May.

27. [35] Heston, Steven L., (1993), A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, Vol. 6, pp. 327-343.

28. [36] Heynen, Ronald C., (1994), An Empirical Investigation of Observed Smile Patterns, Review of Futures Markets, Vol. 13, No. 2, pp. 317-353.
    Paper not yet in RePEc: Add citation now
    

29. [38] Jackwerth, Jens Carsten, (2000), Recovering Risk Aversion from Option Prices and Realized Returns, Review of Financial Studies, Vol. 13, pp. 433-451.

30. [39] Jarrow, Robert, and Rudd, Andrew, (1982), Approximate valuation for arbitrary stochastic processes, Journal of Financial Economics, Vol. 10, pp. 347-369.

31. [4] Ait-Sahalia, Yacine and Lo, Andrew W., (2000), Nonparametric Risk Management and Implied Risk Aversion, Journal of Econometrics, Vol. 94, Issue 1-2, pp. 951.

32. [40] Jondeau, Eric, and Rockinger, Michael, (2000), Reading the smile: the message conveyed by methods which infer risk neutral densities, Journal of International Money and Finance, Vol. 19, pp. 885-915.

33. [41] Jondeau, Eric, and Rockinger, Michael, (2001), Gram-Charlier densities, Journal of Economic Dynamics and Control, Vol 25, pp. 1457-1483.

34. [42] Jorion, Philippe, (1988), On jump processes in the foreign exchange and stock markets , Review of Financial Studies, Vol. 1, pp. 427-445.

35. [43] Madan, Dilip B., and Milne, Frank, (1994), Contingent claims valued and hedged by pricing and investing in a basis, Mathematical Finance, Vol. 4, pp. 223-245.

36. [44] Malz, Allan M., Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark, Journal of International Money and Finance, Vol. 15, pp. 717-748, October.
    Paper not yet in RePEc: Add citation now
    
37. [45] Malz, Allan M., Estimating the probability distribution of the future exchange rate from options prices, (1997), Journal of Derivatives, pp. 18-36, Winter.
    Paper not yet in RePEc: Add citation now
    
38. [46] McCauley, Robert, and Melick, William R., (1996a), Propensity and density, Risk, Vol. 9, pp. 52-54, May.
    Paper not yet in RePEc: Add citation now
    
39. [47] McCauley, Robert, and Melick, William R., (1996b), Risk reversal risk, Risk, Vol. 9, pp. 54-57, November.
    Paper not yet in RePEc: Add citation now
    

40. [48] McManus, Des J., (1999), The information content of interest rate futures options, Working Paper, No. 99-15, Bank of Canada. Extracting expectations from currency option prices: a comparison of methods 33

41. [49] Meese, Richard A., (1986), Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates, Journal of Political Economy, Vol. 94, pp. 345-373.

42. [5] Anagnou, Iliana, Bedendo, Mascia, Hodges, Stewart, and Tompkins, Robert, (2002), The relation between implied and realised probability density functions, Working paper, University of Technology, Vienna.
    Paper not yet in RePEc: Add citation now
    

43. [50] Melick, William R., and Thomas, Charles P., (1997), Recovering an assets implied PDF from option prices: an application to crude oil during the Gulf crisis, Journal of Financial and Quantitative Analysis, Vol. 32, pp. 91-115, March.

44. [51] Melick, William R., and Thomas, Charles P., (1998), Con...dence Intervals and Constant-Maturity Series for Probability Measures Extracted from Options Prices, Bank of Canada, mimeo.
    Paper not yet in RePEc: Add citation now
    

45. [52] Merton, Robert C., (1973), The Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, Vol. 4, pp. 141-183.

46. [53] Merton, Robert C., (1976), Option Pricing When Underlying Stock Returns are Discontinuous, Journal of Financial Economics, Vol. 3, pp. 125-144.

47. [54] Poon, Ser-Huang, and Granger, Clive W., (2003), Forecasting volatility in ...nancial markets, Journal of Economic Literature, Vol. 41, pp. 478-539.

48. [55] Pratt, John W., (1964), Risk Aversion in the Small and in the Large, Econometrica, Vol. 32, No. 1/2, pp. 122-136.
    Paper not yet in RePEc: Add citation now
    

49. [56] Rosenberg, Joshua V., and Engle, Robert F., (2002), Empirical Pricing Kernels, Journal of Financial Economics, Vol. 64, Issue 3, pp. 341372.

50. [57] Rubinstein, Mark, (1994), Implied binomial trees, Journal of Finance, Vol. 49, pp. 771-818, July.

51. [58] Rubinstein, Mark, (2002), The Valuation of Uncertain Income Streams and the Pricing of Options, in Asset Pricing Theory and Tests, edited by Robert Grauer, Elsevier Science.
    Paper not yet in RePEc: Add citation now
    
52. [59] Samuelson, Paul A., (1965), Rational Theory of Warrant Pricing, Industrial Management Review, Vol. 6, Issue 2, pp. 13-31.
    Paper not yet in RePEc: Add citation now
    
53. [6] Andersen, Leif, and Andreasen, Jesper, (1999), Jumping Smiles, Risk, Vol. 12, No. 11, November, pp. 65-68.
    Paper not yet in RePEc: Add citation now
    
54. [60] Sherrick, Bruce J., Garcia, Philip, and Tirupattur, Viswanath, (1996), Recovering Probabilitic Information from Option Markets: Tests of Distributional Assumptions, Journal of Futures Markets, Vol. 16, No. 5, pp. 545-560.
    Paper not yet in RePEc: Add citation now
    
55. [61] Shimko, David C., (1993), Bounds of probability, Risk, Vol. 6, pp. 33-37, April.
    Paper not yet in RePEc: Add citation now
    

56. [62] Söderlind, Paul, and Svensson, Lars E. O., (1997), New Techniques to Extract Market Expectations from Financial Instruments, Journal of Monetary Economics, Vol. 40, Issue 2, pp. 383-429.

57. [63] Taylor, Stephen J., and Xu, Xinzhong, (1994), The term structure of volatility implied by foreign exchange options, Journal of Financial and Quantitative Analysis, Vol. 29, pp. 57-74.

58. [64] Taylor, Stephen J., and Xu, Xinzhong, (1995), Conditional volatility and the informational e ciency of the PHLX currency options market, Journal of Banking and Finance, Vol. 19, pp. 803-821. Extracting expectations from currency option prices: a comparison of methods 34

59. [65] Tucker, Alan L, and Pond, Lallon, (1988), The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes, Review of Economics and Statistics, Vol. 70, No. 4, pp. 638-647.

60. [66] Weinberg, Steven A., (2001), Interpreting the Volatility Smile: An Examination of the Information Content of Options Prices, Board of Governors of the Federal Reserve System, International Finance Discussion Paper no. 706.

61. [7] Atkinson, Kendall E., (1989), An introduction to numerical analysis, John Wiley & Sons, USA.
    Paper not yet in RePEc: Add citation now
    
62. [8] Bachelier, Louis, (1900), Théorie de la spéculation, Thèse, Annales scienti...ques de lEcole Normale Supérieure, 3e série, tome 17, Paris, Gauthier-Villars, pp. 21-86.
    Paper not yet in RePEc: Add citation now
    
63. [9] Bahra, Bhupinder, (1996), Probability Distributions of Future Asset Prices Implied by Option Prices, Bank of England Quarterly Bulletin, August 1996, pp. 299-311.
    Paper not yet in RePEc: Add citation now
    

1. Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

   Full description at Econpapers || Download paper

2. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
   In: Review of Asset Pricing Studies.
   RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42..

   Full description at Econpapers || Download paper

3. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
   In: The Review of Asset Pricing Studies.
   RePEc:oup:rapstu:v:7:y:2017:i:1:p:2-42..

   Full description at Econpapers || Download paper

4. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. (2017). Souissi, Nessim .
   In: Journal of Applied Mathematics.
   RePEc:hin:jnljam:3156250.

   Full description at Econpapers || Download paper

5. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette.
   In: Energy Policy.
   RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283.

   Full description at Econpapers || Download paper

6. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
   In: Handbook of Economic Forecasting.
   RePEc:eee:ecofch:2-581.

   Full description at Econpapers || Download paper

7. HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING. (2012). Tunaru, Radu S ; TOSCANO, PIETRO ; Leccadito, Arturo.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:15:y:2012:i:08:n:s0219024912500586.

   Full description at Econpapers || Download paper

8. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
   In: Computing in Economics and Finance 2005.
   RePEc:sce:scecf5:226.

   Full description at Econpapers || Download paper

9. Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options. (2005). Hadri, Kaddour ; Bu, Ruijun.
   In: Research Papers.
   RePEc:liv:livedp:200510.

   Full description at Econpapers || Download paper

10. Estimation of risk-neutral densities using positive convolution approximation. (2003). Bondarenko, Oleg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:85-112.

    Full description at Econpapers || Download paper

11. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11:p:2095-2114.

    Full description at Econpapers || Download paper

12. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

    Full description at Econpapers || Download paper

13. Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Backus, David ; Foresi, Silverio .
    In: Finance.
    RePEc:wpa:wuwpfi:0207008.

    Full description at Econpapers || Download paper

14. Testing the stability of implied probability density functions. (2002). Panigirtzoglou, Nikolaos ; Bliss, Robert R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:381-422.

    Full description at Econpapers || Download paper

15. Reading PIBOR futures options smiles: The 1997 snap election. (2001). Rockinger, Michael ; Jondeau, Eric ; Coutant, Sophie .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:11:p:1957-1987.

    Full description at Econpapers || Download paper

16. Gram-Charlier densities. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:10:p:1457-1483.

    Full description at Econpapers || Download paper

17. Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives. (2000). Chiarella, Carl.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:113-125.

    Full description at Econpapers || Download paper

18. A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS. (2000). Benhamou, Eric ; Duguet, Alexandre.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:33.

    Full description at Econpapers || Download paper

19. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:bla00005.

    Full description at Econpapers || Download paper

20. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Post-Print.
    RePEc:hal:journl:halshs-03723832.

    Full description at Econpapers || Download paper

21. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-03723832.

    Full description at Econpapers || Download paper

22. Reading the smile: the message conveyed by methods which infer risk neutral densities. (2000). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:6:p:885-915.

    Full description at Econpapers || Download paper

23. Econometric specification of the risk neutral valuation model. (2000). Monfort, Alain ; gourieroux, christian ; Clement, E..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:117-143.

    Full description at Econpapers || Download paper

24. Approximating payoffs and pricing formulas. (2000). darolles, serge ; Laurent, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1721-1746.

    Full description at Econpapers || Download paper

25. Testing the stability of implied probability density functions. (2000). Panigirtzoglou, Nikolaos ; Bliss, Robert R.
    In: Bank of England working papers.
    RePEc:boe:boeewp:114.

    Full description at Econpapers || Download paper

26. The Information Content of Interest Rate Futures Options. (1999). Mc Manus, Des, .
    In: Staff Working Papers.
    RePEc:bca:bocawp:99-15.

    Full description at Econpapers || Download paper

27. Econometric specification of the risk neutral valuation model. (1997). Monfort, Alain ; gourieroux, christian ; Clement, E.
    In: CEPREMAP Working Papers (Couverture Orange).
    RePEc:cpm:cepmap:9706.

    Full description at Econpapers || Download paper

28. Options and volatility. (1996). Abken, Peter A. ; Nandi, Saikat.
    In: Economic Review.
    RePEc:fip:fedaer:y:1996:i:dec:p:21-35:n:v.81no3-6.

    Full description at Econpapers || Download paper

29. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-26.

    Full description at Econpapers || Download paper

Report date: 2025-02-15 17:05:08 || Missing content? Let us know