Read Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Noureddine Krichene

4.9/5 (13117 ratings)

Description: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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices. To get started finding Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 26

Format: PDF, EPUB & Kindle Edition

Publisher: Not Avail

Release: 2004

ISBN: 6613798533

Description: 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices. To get started finding Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

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