DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY

In this paper, we introduce a dynamical model for the time evolution of probability density functions incorporating uncertainty in parameters. The follows stochastic processes, thereby defining new class processes with values space densities. purpose is to quantify that can be used probabilistic forecasting. Starting from set traded prices equity indices, do some empirical studies. We apply our dynamic forecasting option pricing, where proposed notion reduces on future volatility. A distribution follows, reflecting underlying prices. associate measures sense Cont.