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dc.contributor.authorCraig, Ben R.en
dc.contributor.authorKeller, Joachimen
dc.date.accessioned2009-01-28T16:02:48Z-
dc.date.available2009-01-28T16:02:48Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/19738-
dc.description.abstractWe estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities that is based on the inverse probability functions and is modified to account for correlation across time between our random variables, which are uniform under the null hypothesis. We find that the densities based on the Americanoption markets for foreign exchange do quite well for the forecasting period over which the options are thickly traded. Further, simple models that fit the densities do about as well as more sophisticated models.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2005,05en
dc.subject.jelF47en
dc.subject.jelC63en
dc.subject.jelF31en
dc.subject.jelC52en
dc.subject.ddc330en
dc.subject.keywordRisk-neutral densities from option pricesen
dc.subject.keywordAmerican exchange rate optionsen
dc.subject.keywordEvaluating Density Forecastsen
dc.subject.keywordPentionominal treeen
dc.subject.keywordDensity evaluationen
dc.subject.stwDevisenoptionsgeschäften
dc.subject.stwOptionspreistheorieen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleThe forecast ability of risk-neutral densities of foreign exchange-
dc.typeWorking Paperen
dc.identifier.ppn49845620Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:4260en

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