Option-Implied Physical Distributions
The study uses an initial density forecast and monthly index options' bid-ask prices to predict one-month equity index returns, finding that the implied physical significantly improves the initial and implied risk neutral.
Featured in No. 46 on 24 Apr 2024 · 4 days after release · 1 citation today
- Released
- 20 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
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- 3
- Identifier
- SSRN 4801530
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