Internformat: The Information Content of Prices in Derivative Security Markets

The Information Content of Prices in Derivative Security Markets:

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to ca...

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1. Verfasser:	Scott, Louis O. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 1991
Schriftenreihe:	IMF Working Papers Working Paper No. 91/132
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market's expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence
Beschreibung:	1 Online-Ressource (42 p)
ISBN:	1451932553 9781451932553

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spelling	Scott, Louis O. Verfasser aut The Information Content of Prices in Derivative Security Markets Scott, Louis O Washington, D.C International Monetary Fund 1991 1 Online-Ressource (42 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 91/132 Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market's expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence Online-Ausg http://elibrary.imf.org/view/IMF001/07094-9781451932553/07094-9781451932553/07094-9781451932553.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Scott, Louis O. The Information Content of Prices in Derivative Security Markets
title	The Information Content of Prices in Derivative Security Markets
title_auth	The Information Content of Prices in Derivative Security Markets
title_exact_search	The Information Content of Prices in Derivative Security Markets
title_exact_search_txtP	The Information Content of Prices in Derivative Security Markets
title_full	The Information Content of Prices in Derivative Security Markets Scott, Louis O
title_fullStr	The Information Content of Prices in Derivative Security Markets Scott, Louis O
title_full_unstemmed	The Information Content of Prices in Derivative Security Markets Scott, Louis O
title_short	The Information Content of Prices in Derivative Security Markets
title_sort	the information content of prices in derivative security markets
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