Downside Risk Neutral Probabilities
In: Centre Interuniversitaire sur le Risque, les Politiques Economiques et l'Emploi, Working Paper Series, No. 21, 2015
1347 Ergebnisse
Sortierung:
In: Centre Interuniversitaire sur le Risque, les Politiques Economiques et l'Emploi, Working Paper Series, No. 21, 2015
SSRN
Working paper
SSRN
SSRN
SSRN
Working paper
In: Working paper series 2009,12
In: Energy Economics, Forthcoming
SSRN
In: Theory and decision: an international journal for multidisciplinary advances in decision science, Band 78, Heft 2, S. 171-188
ISSN: 1573-7187
In: Working papers of the Federal Reserve Bank of Cleveland 9301
In: Energy Economics, Band 72, Heft 2018
SSRN
Working paper
SSRN
SSRN
In: International Review of Law and Economics, Forthcoming
SSRN
Working paper
SSRN
Working paper
Mestrado em Finanças ; Este trabalho tem o objectivo de facilitar a previsão para investidores em mercados financeiros. Embora possa ser usado em acções e futuros de petróleo, o principal objectivo é o mercado cambial, mais especificamente, opções de moeda, extraindo com risco neutro a densidade de probabilidade da função através de uma abordagem paramétrica e não paramétrica. Consequentemente, tal foi aplicado a um caso muito recente, em 2019, entre o dólar Norte americano e a libra inglesa, tornando assim mais atractiva a leitura do comportamento da densidade, especialmente com a saída do Reino unido da União Europeia. ; This work has the purpose of easing the forecast for financial market investors. Although it can be used on equities and oil futures, the main aim is the Foreign exchange. More so, it is specialized on currency options, extracting then the closer Risk Neutral Probability Density Function through a parametric approach and a nonparametric approach. Subsequently, this was applied to a very recent case, in 2019, between the United States of America dollar and United Kingdom pound, making it more attractive to assess the behaviour of the density, specially linked to the withdrawal of United Kingdom from the European Union. ; info:eu-repo/semantics/publishedVersion
BASE
In: Decisions in economics and finance: a journal of applied mathematics, Band 27, Heft 2, S. 109-123
ISSN: 1129-6569, 2385-2658