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Testing the stability of implied probability density functions. (2000). Panigirtzoglou, Nikolaos ; Bliss, Robert R.
In: Bank of England working papers.
RePEc:boe:boeewp:114.

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Cites: 37

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Cocites: 29

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  1. Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009. (2012). Benavides, Guillermo .
    In: Remef - The Mexican Journal of Economics and Finance.
    RePEc:imx:journl:20121018.

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  2. Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009. (2011). Benavides, Guillermo .
    In: Remef - The Mexican Journal of Economics and Finance.
    RePEc:imx:journl:v:6:y:2011:i:1:p:5-27.

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  3. Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar.. (2008). Perales, Guillermo Benavides ; Israel Felipe Mora Cuevas, .
    In: Ensayos Revista de Economia.
    RePEc:ere:journl:v:xxvii:y:2008:i:1:p:33-52.

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  4. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:211-231.

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  5. Do interventions in foreign exchange markets modify investors expectations? The experience of Japan between 1992 and 2004. (2008). Morel, Christophe ; Teiletche, Jerome .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/12956.

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  6. Why Does Implied Risk Aversion Smile?. (2007). Ziegler, Alexandre.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:20:y:2007:i:3:p:859-904..

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  7. Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles.. (2006). Brière, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:06-009.

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  8. Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options. (2002). Gereben, Áron.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2002/04.

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  9. Why does Implied Risk Aversion Smile?. (2002). Ziegler, Alexandre.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp47.

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  10. Distributions Implied by Exchange Traded Options: A Ghost’s Smile?. (2002). Cincibuch, Martin.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp200.

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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  2. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: Review of Asset Pricing Studies.
    RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42..

    Full description at Econpapers || Download paper

  3. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rapstu:v:7:y:2017:i:1:p:2-42..

    Full description at Econpapers || Download paper

  4. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. (2017). Souissi, Nessim .
    In: Journal of Applied Mathematics.
    RePEc:hin:jnljam:3156250.

    Full description at Econpapers || Download paper

  5. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette.
    In: Energy Policy.
    RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283.

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  6. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-581.

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  7. HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING. (2012). Tunaru, Radu S ; TOSCANO, PIETRO ; Leccadito, Arturo.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:15:y:2012:i:08:n:s0219024912500586.

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  8. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:226.

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  9. Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options. (2005). Hadri, Kaddour ; Bu, Ruijun.
    In: Research Papers.
    RePEc:liv:livedp:200510.

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  10. Estimation of risk-neutral densities using positive convolution approximation. (2003). Bondarenko, Oleg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:85-112.

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  11. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11:p:2095-2114.

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  12. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

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  13. Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Backus, David ; Foresi, Silverio .
    In: Finance.
    RePEc:wpa:wuwpfi:0207008.

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  14. Testing the stability of implied probability density functions. (2002). Panigirtzoglou, Nikolaos ; Bliss, Robert R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:381-422.

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  15. Reading PIBOR futures options smiles: The 1997 snap election. (2001). Rockinger, Michael ; Jondeau, Eric ; Coutant, Sophie .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:11:p:1957-1987.

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  16. Gram-Charlier densities. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:10:p:1457-1483.

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  17. Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives. (2000). Chiarella, Carl.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:113-125.

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  18. A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS. (2000). Benhamou, Eric ; Duguet, Alexandre.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:33.

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  19. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:bla00005.

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  20. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Post-Print.
    RePEc:hal:journl:halshs-03723832.

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  21. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-03723832.

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  22. Reading the smile: the message conveyed by methods which infer risk neutral densities. (2000). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:6:p:885-915.

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  23. Econometric specification of the risk neutral valuation model. (2000). Monfort, Alain ; gourieroux, christian ; Clement, E..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:117-143.

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  24. Approximating payoffs and pricing formulas. (2000). darolles, serge ; Laurent, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1721-1746.

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  25. Testing the stability of implied probability density functions. (2000). Panigirtzoglou, Nikolaos ; Bliss, Robert R.
    In: Bank of England working papers.
    RePEc:boe:boeewp:114.

    Full description at Econpapers || Download paper

  26. The Information Content of Interest Rate Futures Options. (1999). Mc Manus, Des, .
    In: Staff Working Papers.
    RePEc:bca:bocawp:99-15.

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  27. Econometric specification of the risk neutral valuation model. (1997). Monfort, Alain ; gourieroux, christian ; Clement, E.
    In: CEPREMAP Working Papers (Couverture Orange).
    RePEc:cpm:cepmap:9706.

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  28. Options and volatility. (1996). Abken, Peter A. ; Nandi, Saikat.
    In: Economic Review.
    RePEc:fip:fedaer:y:1996:i:dec:p:21-35:n:v.81no3-6.

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  29. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-26.

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