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| Tekijä: | Bliss, R. R. Panigirtzoglou, N. |
| Otsikko: | Testing the stability of implied probability density functions |
| Lehti: | Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 381-422 |
| Asiasana: | Statistical methods Estimation Forecasting |
| Kieli: | eng |
| Tiivistelmä: | 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