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|z 9781455202157
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|c BD-DhAAL
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|a Cheng, Kevin.
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|a A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices /
|c Kevin Cheng.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2010.
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|a 1 online resource (31 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra's original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S and P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2010/181
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2010/181/001.2010.issue-181-en.xml
|z IMF e-Library
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