Essays about: "Risk neutral density RND"

Found 2 essays containing the words Risk neutral density RND.

  1. 1. Risk neutral densities and the September 2008 stock market crash: A study on European data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Misha Wolynski; Martin Theimer; [2011]
    Keywords : Risk neutral density RND ; Implied volatility; September 2008 stock market crash; Late-2000s financial crisis;

    Abstract : In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. READ MORE

  3. 2. The forecasting ability of implicit risk-neutral density function: A study of planned economic events in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Land; [2007]
    Keywords : Implicit volatility; Risk-neutral density; Forecasting;

    Abstract : Financial institutions spend large amounts of money on gaining accurate information. The information they acquire is often kept for themselves and used in order to trade and make profits. When they use the information it is though implicitly put into the prices of the instruments. READ MORE