In this paper, we calculate risk-neutral densities (RND) by estimating the daily diffusion process of underlying futures contract for foreign exchange, based on the price of the American puts and calls reported on Chicago Mercantile Exchange.
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance.