Auf ein Miniaturbild klicken, um zu Google Books zu gelangen.
Lädt ... Deriving market expectations for the euro-dollar exchange rate from option pricesvon Noureddine Krichene
Keine Tags Keine Lädt ...
Melde dich bei LibraryThing an um herauszufinden, ob du dieses Buch mögen würdest. Keine aktuelle Diskussion zu diesem Buch. Keine Rezensionen keine Rezensionen | Rezension hinzufügen
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns'' volatilities are inferred from observed and interpolated option prices. To address robustness, two distributions, one from actual data and the other from interpolated data, were computed. The main conclusion of the paper is that traders have wide-ranging expectations, and large movements in either direction would not occur as a surprise. The main implication for monetary policy is that should markets become too volatile, then intervention may be required. Keine Bibliotheksbeschreibungen gefunden. |
Aktuelle DiskussionenKeineBeliebte UmschlagbilderKeine
Google Books — Lädt ... GenresMelvil Decimal System (DDC)332.45660941Social sciences Economics Finance Money Foreign Exchange Exchange Rates, Pegs, Currency Boards, and Other Policy Mechanisms Organizations and management History, geographic treatment, biography EuropeKlassifikation der Library of Congress [LCC] (USA)BewertungDurchschnitt: Keine Bewertungen.Bist das du?Werde ein LibraryThing-Autor. |