Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19738
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dc.contributor.authorCraig, Ben R.en_US
dc.contributor.authorKeller, Joachimen_US
dc.date.accessioned2009-01-28T16:02:48Z-
dc.date.available2009-01-28T16:02:48Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/19738-
dc.description.abstractWe estimate the process underlying the pricing of American options byusing higher-order lattices combined with a multigrid method. This paperalso tests whether the risk-neutral densities given from American options providea good forecasting tool. We use a nonparametric test of the densitiesthat is based on the inverse probability functions and is modified to accountfor correlation across time between our random variables, which are uniformunder the null hypothesis. We find that the densities based on the Americanoptionmarkets for foreign exchange do quite well for the forecasting periodover which the options are thickly traded. Further, simple models that fitthe densities do about as well as more sophisticated models.Keywords: Risk-neutral densities from option prices, American exchangerate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation,Overlapping data problemen_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion Paper, Series 2: Banking and Financial Supervision |x2005,05en_US
dc.subject.jelF47en_US
dc.subject.jelC63en_US
dc.subject.jelF31en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordRisk-neutral densities from option pricesen_US
dc.subject.keywordAmerican exchange rate optionsen_US
dc.subject.keywordEvaluating Density Forecastsen_US
dc.subject.keywordPentionominal treeen_US
dc.subject.keywordDensity evaluationen_US
dc.subject.stwDevisenoptionsgeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleThe forecast ability of risk-neutral densities of foreign exchangeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn49845620Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:4260-

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