A forecasting analysis of risk‐neutral equity and Treasury volatilities
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Forecasting"
DOI: 10.1002/for.2591
Abstract: The authors acknowledge financial support from the Ministry of Economics and Competitiveness through grant ECO2015‐67035‐P. In addition, Belen Nieto and Gonzalo Rubio acknowledge financial support from Generalitat Valencia grant Prometeo/2017/158 and the Bank of Spain,… read more here.
Keywords: grant; economics; risk neutral; forecasting analysis ... See more keywords
Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
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DOI: 10.1002/fut.22049
Abstract: This article compares several widely used and recently developed methods to extract risk‐neutral densities (RNDs) from option prices in terms of estimation accuracy. It shows that the positive convolution approximation method consistently yields the most… read more here.
Keywords: monte carlo; risk neutral; neutral densities; carlo analysis ... See more keywords
Big moves of mutual funds
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DOI: 10.1007/s40822-018-0104-6
Abstract: Previous research suggests that short-sellers correctly anticipate that big moves by one or more mutual funds cause temporary price distortions. By moving in the opposite direction to those trades, short-sellers outsmart mutual funds. This appears… read more here.
Keywords: risk neutral; mutual funds; big moves; moves mutual ... See more keywords
An idea of risk-neutral momentum and market fear
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DOI: 10.1016/j.frl.2019.101347
Abstract: Abstract This study models a link between ex-ante autocorrelation in expected returns and risk-neutral momentum, enabling a straightforward interpretation of market sentiment. Correspondingly, concepts of fractal Brownian motion are applied to option implied volatility term… read more here.
Keywords: risk neutral; market; finance; neutral momentum ... See more keywords
Risk Neutral Measure Determination from Price Ranges: Single Period Market Models
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DOI: 10.3390/e20070508
Abstract: Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, valuation of other financial instruments is a relatively straightforward task when those… read more here.
Keywords: price; risk neutral; market; neutral measure ... See more keywords
Risk-Neutral Pricing Method of Options Based on Uncertainty Theory
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DOI: 10.3390/sym13122285
Abstract: In order to rationally deal with the belief degree, Liu proposed uncertainty theory and refined into a branch of mathematics based on normality, self-duality, sub-additivity and product axioms. Subsequently, Liu defined the uncertainty process to… read more here.
Keywords: pricing method; risk neutral; based uncertainty; uncertainty ... See more keywords