Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices /
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 inte...
| Päätekijä: | |
|---|---|
| Aineistotyyppi: | Aikakauslehti |
| Kieli: | English |
| Julkaistu: |
Washington, D.C. :
International Monetary Fund,
2004.
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| Sarja: | IMF Working Papers; Working Paper ;
No. 2004/196 |
| Linkit: | Full text available on IMF |