1. Derivatives in Sustainable Finance. (2020). Thomadakis, Apostolos ; Lannoo, Karel.
   In: ECMI Papers.
   RePEc:eps:ecmiwp:29791.

   Full description at Econpapers || Download paper

2. Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations. (2015). Fendoglu, Salih ; DeÄŸerli, Ahmet ; Fendolu, Salih ; Deerli, Ahmet .
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:35:y:2015:i:c:p:166-179.

   Full description at Econpapers || Download paper

3. Generating Options-Implied Probability Densities to Understand Oil Market Events. (2014). Londono, Juan M. ; Datta, Deepa ; Ross, Landon J.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:1122.

   Full description at Econpapers || Download paper

4. Market Perceptions of Exchange Rate Risk. (2012). Lewis, Michelle.
   In: Reserve Bank of New Zealand Analytical Notes series.
   RePEc:nzb:nzbans:2012/12.

   Full description at Econpapers || Download paper

5. Testing for the uncovered interest parity using distributions implied by FX options. (2004). Vavra, David ; Cincibuch, Martin.
   In: Money Macro and Finance (MMF) Research Group Conference 2003.
   RePEc:mmf:mmfc03:16.

   Full description at Econpapers || Download paper

6. Extracting market expectations from option prices?. (2002). Gereben, Áron.
   In: Reserve Bank of New Zealand Bulletin.
   RePEc:nzb:nzbbul:march2002:5.

   Full description at Econpapers || Download paper

1. Aguilar, J and P Hördahl (1999), Option prices and market expectations, Sveriges Riksbank Quarterly Review, 1/1999, 43-70.
   Paper not yet in RePEc: Add citation now
   

2. Bahra B (1997), Implied risk-neutral probability density functions from option prices: theory and application, Bank of England Working Paper, 66.

3. Bank for International Settlements (2001), Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity 2001, http://www.bis.org/publ/rpfx01.htm.
   Paper not yet in RePEc: Add citation now
   

4. Black, F and M Scholes (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637- 59.

5. Bliss, R B and N Panigirtzoglou (2000), Testing the stability of implied probability density functions, Bank of England Working Paper, 114.

6. Breeden, D T and R H Litzenberger (1978), Prices of State- Contingent Claims Implicit in Option Prices, Journal of Business, 51/ 4, 621-51.

7. Campa, J M, Chang, P H K and Reider, R L (1997), Implied exchange rate distributions: evidence from OTC option markets, NBER Working Paper, 6179.

8. Cox, J and S Ross (1976), The Valuation of Options for Alternative Stochastic Processes, Journal of Financial Economics, 3, 145-66.

9. Eitrheim Ø, E Frøyland and Ø Røisland (1999), Can the price of currency options provide and indication of market perceptions of the uncertainty attached to the krone exchange rate?, Norges Bank Economic Bulletin, 3/99, 266-77.
   Paper not yet in RePEc: Add citation now
   

10. Garman, M B and S W Kohlhagen (1983), Foreign Currency Option Values, Journal of International Money and Finance, 2, 231-37.

11. Ha, Y and M Reddell (1998), What do forward interest and exchange rates tell us?, Reserve Bank of New Zealand Bulletin, 61/2, 129-147.

12. Lyons, R K (1988), Tests of the Foreign Exchange Risk Premium Using the Expected Second Moments Implied by Option Pricing, Journal of International Money and Finance, 7, 91- 108.

13. Malz, A M (1997) Option-implied probability distributions and currency excess returns, Federal Reserve Bank of New York Staff Report 32, November 1997.

14. Melick, W R and C P Thomas (1997), Recovering an Assets Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis, Journal of Financial and Quantitative Analysis, 32, 91-115.

15. Newey, W K and K D West (1987), A Simple, Positive Semi- Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55/3, 703-8.

16. Newey, W K and K D West (1994), Automatic Lag Selection in Covariance Matrix Estimation, The Review of Economic Studies, 61/4, 631-53.

17. Pagès, H (1996), Is there a premium for currencies correlated with volatility? Some evidence from risk reversals, Banque de France Notes dÉtudes et de Recherche, 34, January 1996.
    Paper not yet in RePEc: Add citation now
    

18. Rubinstein, M (1994), Implied Binomial Trees, Journal of Finance, LXIX/3, 771-818.

19. Shimko, D (1993), Bounds of Probability, RISK, 6/4, 33-37.
    Paper not yet in RePEc: Add citation now
    

1. Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Kumar, Sumit ; Tomar, Nutan Kumar ; Kundu, Arindam.
   In: Computational Economics.
   RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

   Full description at Econpapers || Download paper

2. Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

   Full description at Econpapers || Download paper

3. The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
   In: Annals of Finance.
   RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

   Full description at Econpapers || Download paper

4. Asset Pricing with Random Volatility. (2018). Liu, Xin.
   In: Papers.
   RePEc:arx:papers:1610.01450.

   Full description at Econpapers || Download paper

5. Assessment of Density Forecast for Energy Commodities in Post-Financialization Era. (2017). Deepak, Bisht ; Laha, A K.
   In: IIMA Working Papers.
   RePEc:iim:iimawp:14574.

   Full description at Econpapers || Download paper

6. Generating options-implied probability densities to understand oil market events. (2017). Londono, Juan M. ; Datta, Deepa ; Ross, Landon J.
   In: Energy Economics.
   RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

   Full description at Econpapers || Download paper

7. Functional Principal Component Analysis for Derivatives of Multivariate Curves. (2016). Härdle, Wolfgang ; Grith, Maria ; Hardle, Wolfgang K ; Wagner, Heiko ; Kneip, Alois.
   In: SFB 649 Discussion Papers.
   RePEc:hum:wpaper:sfb649dp2016-033.

   Full description at Econpapers || Download paper

8. Option-Implied Libor Rate Expectations across Currencies. (2016). Gebbia, Nick.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:1182.

   Full description at Econpapers || Download paper

9. Option-implied probability distributions: How reliable? How jagged?. (2016). Taboga, Marco.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:45:y:2016:i:c:p:453-469.

   Full description at Econpapers || Download paper

10. Extraction of market expectations from risk-neutral density. (2015). Arneric, Josip ; Aljinovic, Zdravka ; Poklepovic, Tea .
    In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
    RePEc:rfe:zbefri:v:33:y:2015:i:2:p:235-256.

    Full description at Econpapers || Download paper

11. Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması. (2015). Mammadov, Fuad ; Karimli, Tural ; Huseynov, Salman ; Ahmadov, Vugar.
    In: MPRA Paper.
    RePEc:pra:mprapa:65704.

    Full description at Econpapers || Download paper

12. Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations. (2015). Fendoglu, Salih ; DeÄŸerli, Ahmet ; Fendolu, Salih ; Deerli, Ahmet .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:35:y:2015:i:c:p:166-179.

    Full description at Econpapers || Download paper

13. Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?. (2015). Scharnagl, Michael ; Stapf, Jelena.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:48:y:2015:i:c:p:248-269.

    Full description at Econpapers || Download paper

14. Determining and benchmarking risk neutral distributions implied from option prices. (2015). Salazar Celis, Oliver ; Liang, Ling Zhi ; Tempere, Jacques ; Lemmens, Damiaan ; Cuyt, Annie.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:258:y:2015:i:c:p:372-387.

    Full description at Econpapers || Download paper

15. Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?. (2014). Scharnagl, Michael ; Stapf, Jelena.
    In: Discussion Papers.
    RePEc:zbw:bubdps:242014.

    Full description at Econpapers || Download paper

16. Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing. (2014). Uryasev, Stan ; Rockafellar, R. ; Tsyurmasto, Peter ; Veremyev, Alexander.
    In: Computational Management Science.
    RePEc:spr:comgts:v:11:y:2014:i:4:p:341-364.

    Full description at Econpapers || Download paper

17. Inflating Away the Public Debt? An Empirical Assessment. (2014). Reis, Ricardo ; Raviv, Alon ; Hilscher, Jens.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20339.

    Full description at Econpapers || Download paper

18. Extracting market information from equity options with exponential Lévy processes. (2014). Fabozzi, Frank ; TUNARU, RADU S. ; Leccadito, Arturo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:38:y:2014:i:c:p:125-141.

    Full description at Econpapers || Download paper

19. A View on the Risk-Neutral Density Forecasting of the Dax30 Returns. (2013). Duca, Ioana Andreea ; Ruxanda, Gheorghe.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:2:p:101-114.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

21. Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. (2013). Schlogl, Erik.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:3:p:611-632.

    Full description at Econpapers || Download paper

22. Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market. (2012). Du, Yijun ; Wang, Chen.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:12:p:1877-1891.

    Full description at Econpapers || Download paper

23. A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions. (2012). Vincent-Humphreys, Rupert ; Puigvert-Gutierrez, Josep .
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:2:y:2012:i:1:p:1-31.

    Full description at Econpapers || Download paper

24. Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR. (2012). Vergote, Olivier ; Puigvert Gutierrez, Josep Maria, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:10:p:2804-2823.

    Full description at Econpapers || Download paper

25. Does Information Content of Option Prices Add Value for Asset Allocation?. (2011). Zdorovenin, Vladimir ; Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-03.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

27. Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-46.

    Full description at Econpapers || Download paper

28. Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi). (2010). Özbay Özlü, Pınar ; DeÄŸerli, Ahmet ; Aydin, Halil ; Ozlu, Pinar ; Degerli, Ahmet.
    In: Working Papers.
    RePEc:tcb:wpaper:1003.

    Full description at Econpapers || Download paper

29. Exchange Rate Market Expectations and Central Bank Policy: The case of the Mexican Peso-US Dollar from 2005-2009. (2010). Rangel, Jose ; Abarca, Gustavo ; Benavides, Guillermo.
    In: Working Papers.
    RePEc:bdm:wpaper:2010-17.

    Full description at Econpapers || Download paper

30. Disaggregating marketplace attitudes toward risk: a contingent-claim-based model. (2009). Yang, Jun ; Neave, Edwin.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:9:p:719-733.

    Full description at Econpapers || Download paper

31. Orders and inventory commodities with price and demand uncertainty in complete markets. (2008). Tapiero, Charles S..
    In: International Journal of Production Economics.
    RePEc:eee:proeco:v:115:y:2008:i:1:p:12-18.

    Full description at Econpapers || Download paper

32. Non-parametric extraction of implied asset price distributions. (2007). Dixon, Maurice ; Healy, Jerome V. ; Cai, Fangfang ; Read, Brian J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:382:y:2007:i:1:p:121-128.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

34. Probability forecasting and central bank accountability. (2006). Casillas-Olvera, Gabriel ; Bessler, David.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:28:y:2006:i:2:p:223-234.

    Full description at Econpapers || Download paper

35. The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market. (2006). Wilkens, Sascha ; Roder, Klaus.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74.

    Full description at Econpapers || Download paper

36. Option-implied risk preferences: An extension to wider classes of utility functions. (2006). Kim, Tong Suk ; Kang, Byung Jin .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:9:y:2006:i:2:p:180-198.

    Full description at Econpapers || Download paper

37. 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.

    Full description at Econpapers || Download paper

38. Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB. (2005). Vähämaa, Sami.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:57:y:2005:i:1:p:23-38.

    Full description at Econpapers || Download paper

39. Evaluating implied RNDs by some new confidence interval estimation techniques. (2005). Lomakka, Magnus ; Andersson, Magnus.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:6:p:1535-1557.

    Full description at Econpapers || Download paper

40. 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.

    Full description at Econpapers || Download paper

41. Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE. (2003). Stein, Roy ; Hecht, Yoel.
    In: Bank of Israel Working Papers.
    RePEc:boi:wpaper:2003.05b.

    Full description at Econpapers || Download paper

42. Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECBs Monetary Policy 1999/2000. (2002). Mandler, Martin.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2002-ii-4.

    Full description at Econpapers || Download paper

43. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

46. Forecasting Emerging Market Exchange Rates from Foreign Equity Options. (2002). Swidler, Steve ; Chu, Ting-Heng.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:25:y:2002:i:3:p:353-366.

    Full description at Econpapers || Download paper

47. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

49. Extracting market expectations from option prices: case studies in Japanese option markets. (1999). Shiratsuka, Shigenori ; Nakamura, Hisashi.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-99-1.

    Full description at Econpapers || Download paper

50. The simulation of option prices with application to LIFFE options on futures. (1999). Christodoulakis, George ; Satchell, Stephen E..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:114:y:1999:i:2:p:249-262.

    Full description at Econpapers || Download paper

Report date: 2025-09-14 10:21:03 || Missing content? Let us know