References

Abarca, G., J.G. Rangel and G. Benavides, 2010. Exchange rate market expectations and central bank policy: The case of the mexican peso-US dollar from 2005-2009. Bank of Mexico, Mexico.

Ait, S.Y. and A.W. Lo, 1998. Nonparametric estimation of state-price densities implicit in financial asset prices. J. Finance, 53: 499-547.
CrossRef  |  Direct Link  |  

Bahra, B., 1997. Implied risk-neutral probability density functions from option prices: Theory and application. Bank of England, London, England.

Birru, J. and S. Figlewski, 2012. Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008. J. Financial Markets, 15: 151-180.
Direct Link  |  

Bliss, R.R. and N. Panigirtzoglou, 2002. Testing the stability of implied probability density functions. J. Banking Finance, 26: 381-422.
Direct Link  |  

Bliss, R.R. and N. Panigirtzoglou, 2004. Option-implied risk aversion estimates. J. Finance, 59: 407-446.
CrossRef  |  Direct Link  |  

Breeden, D.T. and R.H. Litzenberger, 1978. Prices of state-contingent claims implicit in option prices. J. Bus., 51: 621-651.
Direct Link  |  

Brunner, B. and R. Hafner, 2003. Arbitrage-free estimation of the risk-neutral density from the implied volatility smile. J. Comput. Finance, 7: 75-106.
Direct Link  |  

Bu, R. and K. Hadri, 2007. Estimating option implied risk-neutral densities using spline and hypergeometric functions. Econ. J., 10: 216-244.
CrossRef  |  Direct Link  |  

Campa, J.M., P.K. Chang and R.L. Reider, 1998. Implied exchange rate distributions: Evidence from OTC option markets. J. Int. Money Finance, 17: 117-160.
Direct Link  |  

Giamouridis, D. and G.S. Skiadopoulos, 2009. The Informational Content of Financial Options for Quantitative Asset Management: A Review. In: Handbook of Quantitive Asset Management, Scherer, B. and K. Winston, (Eds.). Oxford University Press, Oxford, England, pp: 1-36.

Grith, M., W.K. Hardle and M. Schienle, 2012. Nonparametric Estimation of Risk-Neutral Densities. In: Handbook of Computational Finance, Jin, C.D., W.K. Hardle and J.E. Gentle, (Eds.). Springer, Berlin, Germany, ISBN:978-3-642-17253-3, pp: 277-305.

Gutierrez, J.M.P. and R.D.V. Humphreys, 2012. A quantitative mirror on the Euribor market using implied probability density functions. Eurasian Econ. Rev., 2: 1-31.
Direct Link  |  

Ivanova, V. and J.M.P. Gutierrez, 2014. Interest rate forecasts, state price densities and risk premium from Euribor options. J. Banking Finance, 48: 210-223.
Direct Link  |  

Jackwerth, J.C., 1999. Option implied risk-neutral distributions and implied binomial trees: A literature review. J. Derivatives, 7: 66-82.
Direct Link  |  

Kempf, A., O. Korn and S. Sabning, 2015. Portfolio optimization using forward-looking information. Rev. Finance, 19: 467-490.
CrossRef  |  Direct Link  |  

Kostakis, A., N. Panigirtzoglou and G. Skiadopoulos, 2011. Market timing with option-implied distributions: A forward-looking approach. Manage. Sci., 57: 1231-1249.
Direct Link  |  

Lai, W.N., 2011. Comparison of methods to estimate option implied risk-neutral densities. Quant. Finance, 14: 1839-1855.

Malz, A.M., 1997. Estimating the probability distribution of the future exchange rate from option prices. J. Derivatives, 5: 18-36.
CrossRef  |  Direct Link  |  

Melick, W.R. and C.P. Thomas, 1997. Recovering an asset's implied PDF from option prices: An application to crude oil during the Gulf crisis. J. Financial Quantit. Anal., 32: 91-115.
Direct Link  |  

Santos, A. and J. Guerra, 2015. Implied risk neutral densities from option prices: Hypergeometric, spline, lognormal and edgeworth functions. J. Futures Markets, 35: 655-678.
CrossRef  |  Direct Link  |  

Shimko, D., 1993. Bounds of probability. Risk, 6: 33-37.