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Author:Bliss, R. R.
Panigirtzoglou, N.
Title:Testing the stability of implied probability density functions
Journal:Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 381-422
Index terms:Statistical methods
Estimation
Forecasting
Language:eng
Abstract:The paper examines the absolute and relative robustness of two of the most commong methods for estimating implied probability density functions - the doublelognormal approximating function and the smoothed implied volatility smile methods - using short sterling futures options and the FTSE 100 index options. The tests show that the smoothed implied volatility smile method dominates the double lognormal as a technique for estimating mplied PDFs.
SCIMA record nr: 246605
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