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• W3121750503 abstract "An overview of methods used for estimation of option-implied risk-neutral probability density functions (PDFs) is presented in the study, and one of such methods, double lognormal approach, is used for the analysis of the information content of the EUR/PLN currency options on the Polish market. Estimated PDFs have proven to provide superior information concerning future volatility than historical volatility, yet their forecasting power is comparable to that of the Black-Scholes model. There are no strong grounds for using PDFs as a predictor of the future EUR/PLN exchange rate. Low informative content does not directly follow, as PDFs can be used as an indicator of markets conditions. The issues that could be addressed more thoroughly in the future studies concern the assumption of risk neutrality and the impact of the estimation method on the higher moments of the distribution." @default.
• W3121750503 created "2021-02-01" @default.
• W3121750503 creator A5089174253 @default.
• W3121750503 date "2008-01-01" @default.
• W3121750503 modified "2023-09-23" @default.
• W3121750503 title "Options and Market Expectations: Implied Probability Density Functions on the Polish Foreign Exchange Market" @default.
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