Option Implied Probability Density Functions: Methodology and Use in Understanding Investor Sentiment

O'Donnell Seamus and Mary O'Keeffe
Additional contact information
O'Donnell Seamus: Central Bank of Ireland
Mary O'Keeffe: Central Bank of Ireland

Quarterly Bulletin Articles, 2016, 85-94

Abstract: In recent years there has been lots of research into the extraction of information from the options market. This signed article presents a modelling approach which depicts estimates of future movements of an asset price, as priced by investors. They are of benefit as they incorporate information from the full distribution of investor beliefs. The purpose of this article is to demonstrate the benefits of such models and provide guidance on how they may be constructed and interpreted.

Date: 2016-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://centralbank.ie/docs/default-source/publica ... .pdf?sfvrsn=#page=87 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbi:qtbart:y:2016:m:10:p:85-94

Access Statistics for this article

More articles in Quarterly Bulletin Articles from Central Bank of Ireland Contact information at EDIRC.
Bibliographic data for series maintained by Fiona Farrelly ().