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The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1997
Persistent link: https://www.econbiz.de/10005800346
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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10005750168
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Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2004
-tailed conditionally heteroskedastic time series. We find, in an application to the ERM crises of 1992-93, that both the options and the …
Persistent link: https://www.econbiz.de/10005750171
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Recovering Probabilistic Information From Options Prices and the Underlying
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2007
underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …
Persistent link: https://www.econbiz.de/10005750179
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When Did The Smart Money in Enron Lose Its' Smirk?
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2002
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the...
Persistent link: https://www.econbiz.de/10005750195