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...
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| Формат: | Журнал |
| Мова: | English |
| Опубліковано: |
Washington, D.C. :
International Monetary Fund,
2004.
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| Серія: | IMF Working Papers; Working Paper ;
No. 2004/196 |
| Онлайн доступ: | Full text available on IMF |