Abstract:Purpose: Recently,
considerable attention has been given to forecasting, not only the mean and the
variance, but also the entire probability density function (pdf) of the
underlying asset. These forecasts can be obtained as implied moments of future
distribution originating from European call and put options. However, the predictive
accuracy of option pricing models is not so well established. With this in mind,
this research aims to identify the model that predicts the entire pdf most
accurately when compared… Show more
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