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Browsing Actuarial Science by Subject "Density forecasting"
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(University of Pretoria, 2022)In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
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(South African Statistical Association, 2020)The forward-looking nature of option prices provides an appealing way to extract risk measures. In this paper, we extract forecast densities from option prices that can be used in forecasting risk measures. More specifically, ...
Now showing items 1-2 of 2