The Forecasting Performance of German Stock Option Densities

44 Pages Posted: 8 Jun 2016

See all articles by Ben R. Craig

Ben R. Craig

Federal Reserve Bank of Cleveland; Deutsche Bundesbank

Ernst Glatzer

Austrian National Bank - Economic Studies Division

Joachim Keller

Deutsche Bundesbank - Economic Research Centre

Martin Scheicher

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: 2003

Abstract

In this paper we will be estimating risk-neutral densities (RND) for the

In dieser Arbeit werden "risikoneutrale" Dichtefunktionen über künftige DAXIndexstände

Keywords: option prices, risk-neutral density, density evaluation, overlapping data

JEL Classification: G13, G15, C52, C22

Suggested Citation

Craig, Ben R. and Glatzer, Ernst and Keller, Joachim and Scheicher, Martin, The Forecasting Performance of German Stock Option Densities (2003). Bundesbank Series 1 Discussion Paper No. 2003,17, Available at SSRN: https://ssrn.com/abstract=2785203

Ben R. Craig

Federal Reserve Bank of Cleveland ( email )

PO Box 6387
Cleveland, OH 44101
United States
216-579-2061 (Phone)
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Deutsche Bundesbank

Wilhelm-Epstein-Str. 14
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Germany

Ernst Glatzer

Austrian National Bank - Economic Studies Division ( email )

POB 61
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A-1011 Vienna
Austria
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+43+1 40420 7499 (Fax)

Joachim Keller (Contact Author)

Deutsche Bundesbank - Economic Research Centre ( email )

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

Martin Scheicher

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 (Phone)
+49 69 1344 7949 (Fax)

HOME PAGE: http://www.ecb.europa.eu

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