Evaluating implied RNDs by some new confidence interval estimation techniques
نویسندگان
چکیده
منابع مشابه
Testing Techniques for Estimating Implied Rnds from the Prices of European-style Options
This paper examines two approaches to estimating implied risk-neutral probability density functions from the prices of European-style options. It sets up a monte carlo test to evaluate alternative techniques’ ability to recover simulated distributions based on Heston’s (1993) stochastic volatility model. The paper tests both for the accuracy and stability of the estimated summary statistics fro...
متن کاملA New Confidence Interval Method for the Estimation of Quantiles
Confidence intervals for the median of estimators or other quantiles were proposed as a substitute for usual confidence intervals in terminating and steady-state simulation. They are easy to obtain, the variance of the estimator is not used, they are well suited for correlated simulation output data, apply to functions of estimators, and in simulation they seem to be particularly accurate. For ...
متن کاملStereo Depth Estimation: A Confidence Interval Approach
We describe an estimation technique which, given a measurement of the depth of a target from a wide-fieldof-view (WFOV) stereo camera pair, produces a minimax risk fixed-size confidence interval estimate for the target depth. This work constitutes the first application to the computer vision domain of optimal fixed-size confidenceinterval decision theory. The approach is evaluated in terms of t...
متن کاملConfidence-interval estimation using quasi-independent sequences
A quasi-independent (QI) subsequence is a subset of time-series observations obtained by systematic sampling. Because the observations appear to be independent, as determined by the runs tests, classical statistical techniques can be used on those observations directly. This paper discusses implementation of a sequential procedure to determine the simulation run length to obtain a QI subsequenc...
متن کاملConfidence interval estimation in R-DAS.
BACKGROUND Roughly 25 years ago, the United States National Institute on Drug Abuse (US NIDA) initiated the creation of public use datasets for its National Household Survey on Drug Abuse, since re-named the National Survey on Drug Use and Health (NSDUH). The Substance Abuse and Mental Health Services Administration (SAMHSA), which assumed responsibility for the survey in 1992, has continued an...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2004
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2004.06.001