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Taboga, 2016 - Google Patents

Option-implied probability distributions: How reliable? How jagged?

Taboga, 2016

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Document ID
10208003441574963291
Author
Taboga M
Publication year
Publication venue
International Review of Economics & Finance

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Snippet

Estimates of option-implied probability distributions are routinely used in central banks, as well as in other institutions, but their reliability is often difficult to assess. To address this issue, we propose a semi-nonparametric model that allows to compute exact credible …
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