The Forecast Ability of Risk-Neutral Densities of Foreign Exchange

48 Pages Posted: 8 Jun 2016

See all articles by Ben R. Craig

Ben R. Craig

Federal Reserve Bank of Cleveland; Deutsche Bundesbank

Joachim Keller

Deutsche Bundesbank - Economic Research Centre

Multiple version iconThere are 2 versions of this paper

Date Written: 2005

Abstract

We estimate the process underlying the pricing of American options by

Keywords: Risk-neutral densities from option prices, American exchange, Risk-neutral densities from option prices, American exchange rate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation

JEL Classification: F47, C63, F31, C52

Suggested Citation

Craig, Ben R. and Keller, Joachim, The Forecast Ability of Risk-Neutral Densities of Foreign Exchange (2005). Bundesbank Series 2 Discussion Paper No. 2005,05, Available at SSRN: https://ssrn.com/abstract=2793963

Ben R. Craig (Contact Author)

Federal Reserve Bank of Cleveland ( email )

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Deutsche Bundesbank

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Germany

Joachim Keller

Deutsche Bundesbank - Economic Research Centre ( email )

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

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