Browsing DFAEII by Author "Blanco, Roberto"

Now showing items 1-2 of 2

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      Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts 

      Alonso, Francisco; Blanco, Roberto; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-06)
      The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied ...
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      Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities 

      Alonso, Francisco; Blanco, Roberto; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)
      The main objective of this paper is to test whether the risk-neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes ...