Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application

摘要: Due to their forward-looking nature, derivative markets provide monetary authorities with a rich source of information for gauging market sentiment. For example, futures price gives widely used measure the market's views about future value an asset, namely its mean or expected at maturity date contract. Moreover, available from prices can be extended by using option estimate entire probability distribution asset. This paper develops various techniques estimating underlying asset options on that It discusses relative merits and drawbacks each approach, shows how our preferred approach applied ex ante distributions LIFFE equity interest rate options, Philadelphia Stock Exchange currency options. The then illustrates potential this type policy-maker in assessing conditions conducting operations. Finally, looks limitations data availability highlights some areas research.