Verfügbarkeit: Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

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 an...

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1. Verfasser:	Krichene, Noureddine (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2004
Schriftenreihe:	IMF Working Papers Working Paper No. 04/196
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (24 p)
ISBN:	1451859996 9781451859997

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spelling	Krichene, Noureddine Verfasser aut Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices Krichene, Noureddine Washington, D.C International Monetary Fund 2004 1 Online-Ressource (24 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 04/196 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 Online-Ausg http://elibrary.imf.org/view/IMF001/01670-9781451859997/01670-9781451859997/01670-9781451859997.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Krichene, Noureddine Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title_auth	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title_exact_search	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title_exact_search_txtP	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title_full	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices Krichene, Noureddine
title_fullStr	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices Krichene, Noureddine
title_full_unstemmed	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices Krichene, Noureddine
title_short	Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
title_sort	deriving market expectations for the euro dollar exchange rate from option prices
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