Carlson, John B.; Craig, Ben R.; Melick, William R. - In: Journal of Futures Markets 25 (2005) 12, pp. 1203-1242
This article demonstrates how options on federal funds futures, which began trading in March 2003, can be used to recover the implied probability density function (PDF) for future Federal Open Market Committee (FOMC) interest‐rate outcomes. The discrete nature of the choices made by the FOMC...
