The Resource Deriving market expectations for the euro-dollar exchange rate from option prices, prepared by Noureddine Krichene

Deriving market expectations for the euro-dollar exchange rate from option prices, prepared by Noureddine Krichene

Label
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
Statement of responsibility
prepared by Noureddine Krichene
Creator
Contributor
Author
Issuing body
Subject
Genre
Language
eng
Summary
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
Member of
Action
digitized
Cataloging source
OCLCE
Dewey number
332.45660941
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.04/196
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/04/196
Label
Deriving market expectations for the euro-dollar exchange rate from option prices, prepared by Noureddine Krichene
Publication
Note
  • "October 2004."
  • At head of title: African Department
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn647266278
Dimensions
unknown
Extent
1 online resource (24 pages)
File format
one file format
Form of item
online
Isbn
9781282051089
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/recordID
.b37162512
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • (OCoLC)647266278
  • imf1282051083
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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