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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices
Bødskov Andersen, Allan (contributor);  … - 2002 - [Elektronische Ressource]
from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …
Persistent link: https://www.econbiz.de/10001723101
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The intraday liquidity management game
Bech, Morten L. (contributor); Garratt, Rod (contributor) - 2002 - [Elektronische Ressource]
We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real time gross settlement setting. We find that the game played by banks depends upon the intraday credit policy of the central bank and that it encompasses two...
Persistent link: https://www.econbiz.de/10001685108