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Home > Research in Finance > Volume 18 > Document Request: Information inherent in implicit distributions...
Research in Finance
ISSN: 0196-3821
Series editor(s): Professor John Kensinger
Subject Area: Accounting and Finance
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Document request:
Information inherent in implicit distributions
| Title: | Information inherent in implicit distributions |
|---|---|
| Author(s): | Ako Doffou, Jimmy E. Hilliard |
| Volume: | 18 ISBN: 978-0-76230-717-3 eISBN: 978-1-84950-578-9 |
| Citation: | Ako Doffou, Jimmy E. Hilliard (2001), Information inherent in implicit distributions, in (ed.) 18 (Research in Finance, Volume 18), Emerald Group Publishing Limited, pp.195-220 |
| DOI: | 10.1016/S0196-3821(01)18008-1 (Permanent URL) |
| Publisher: | Emerald Group Publishing Limited |
| Article type: | Full length article |
| Abstract: | Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. in this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency futures and futures options data to yield probabilistic information. The model implies non-normal skewness and kurtosis for the log of price relative, and prices currency futures options better than Bates' (1991) model and far better than Black's model. |
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