Testing the Stability of Implied Probability Density Functions
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ISBN-10 | : OCLC:46951722 |
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Download or read book Testing the Stability of Implied Probability Density Functions written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Chicago presents the full text of the November 19, 1999 working paper entitled "Testing the Stability of Implied Probability Density Functions," written by Robert Bliss and Nikolaos Panigirtzoglou. The text is available in PDF format. This paper conducts tests that show the smoothed implied volatility smile method dominates the double-lognormal as a technique for estimating implied probability density functions (PDFs).