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Extracting Expectations about 1992 UK Monetary Policy from Option Prices

Söderlind, Paul - C.E.P.R. Discussion Papers - 1998

The UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market’s probability distribution of the future Deutsche...

Persistent link: https://www.econbiz.de/10005791268

Performance Maximization of Actively Managed Funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - C.E.P.R. Discussion Papers - 2010

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …

Persistent link: https://www.econbiz.de/10008468707

Interpreting Prediction Market Prices as Probabilities

Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2006

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability …

Persistent link: https://www.econbiz.de/10005136573

New Techniques to Extract Market Expectations from Financial Instruments

Söderlind, Paul; Svensson, Lars E O - C.E.P.R. Discussion Papers - 1997

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...

Persistent link: https://www.econbiz.de/10005504605

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo; Jeanne, Olivier; Sandri, Damiano - C.E.P.R. Discussion Papers - 2009

commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …

Persistent link: https://www.econbiz.de/10008577805

Option-Based Credit Spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014

empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the …

Persistent link: https://www.econbiz.de/10011145468

The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns

Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2006

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock-market returns. Our analysis uses a standard, continuous time, dynamic, general-equilibrium, full-information, frictionless, Lucas endowment economy where there are two classes of...

Persistent link: https://www.econbiz.de/10005114422

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …

Persistent link: https://www.econbiz.de/10011083673

An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999

Campa, José Manuel; Chang, Kevin; Refalo, James F - C.E.P.R. Discussion Papers - 2000

options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of …. The Paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior …

Persistent link: https://www.econbiz.de/10005656384

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … demand helps explain the overall expensiveness and skew patterns of both index options and single-stock options. …

Persistent link: https://www.econbiz.de/10005067592