This paper uses data on German government bond futures options to examine the behaviour of market expectations around … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …

than previously found using market-traded options. Finally, we find that wide-range interval and density forecasts are …

, the US stock markets and credit risk. We find that the risk-neutral densities exhibit pronounced negative skewness. Our …

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …