| Description |
1 online resource (46 pages) |
| Series |
IMF Working Papers |
|
IMF Working Papers
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Theoretical Background and Existing Methodologies; A. Theoretical Background; B. Existing Estimation Methods; III. The Multi-Lognormal Approach with Restrictions; A. The Framework; B. Useful Restrictions and Initial Condition; IV. Applications; A. The Setup; 1. Futures Contracts Specification; 1. Annualized Average Daily Returns and Return Volatilities; B. Results; 2a. Fan Charts for Selected Commodities (as a March 24-25, 2010); 2b. Fan Charts for Selected Financial Instruments (as a March 24-25, 2010) |
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2. Outlook for Major Commodity and Financial Prices as of March 24-25, 20103a. Probability Density Functions for 3-month ahead (or closest) Contracts.; 3b. Probability Density Functions for 3-month ahead (or closest) Contracts; 3c. Probability Density Functions for 9-month (or closest) ahead Contracts; 3d. Probability Density Functions for 9-month (or closest) ahead Contracts; 4a. Commodities: Ratio of Risk-Neutral Probability to Risk-Averse Probability; 4b. Financial Securities: Ratio of Risk-Neutral Probability to Risk-Averse Probability |
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3a. Statistical Properties for Three-Month Contracts or Closest3b. Statistical Properties for Eight- or Nine-Month Contracts or Closest; C. Caveats; 4. Sum of Squared Errors for the Monte Carlo Study with 10,000 simulations; V.A Monte-Carlo Simulation; VI. Conclusion and Further Studies; References; Footnotes |
| Summary |
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra's original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S & P 500, the dollar/euro exchange rate, and the |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Stock options -- Prices -- Mathematical models
|
|
Options (Finance) -- Prices -- Mathematical models
|
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Options (Finance) -- Prices -- Mathematical models
|
| Form |
Electronic book
|
| ISBN |
9781455219278 |
|
1455219274 |
|
1462376924 |
|
9781462376926 |
|
1282846531 |
|
9781282846531 |
|
9786612846533 |
|
6612846534 |
|
1455202150 |
|
9781455202157 |
|
