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Reading PIBOR futures options smiles : the 1997 snap election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - In: Journal of banking & finance 25 (2001) 11, pp. 1957-1987

Persistent link: https://www.econbiz.de/10001617901

Reading interest rate and bond futures options' smiles around the 1997 French snap election

Coutant, Sophie - 1998

Persistent link: https://www.econbiz.de/10013422626

Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...

Persistent link: https://www.econbiz.de/10005124441

Reading PIBOR futures options smiles: The 1997 snap election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - In: Journal of Banking & Finance 25 (2001) 11, pp. 1957-1987

Persistent link: https://www.econbiz.de/10005194933

Reading Interest Rate and Bond Futures Options' Smiles : How Pibor and Notional Operators Appreciated the 1997 French Snap Election

Coutant, Sophie - 2008

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10012775041

Reading PIBOR futures options smiles: The 1997 snap election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - In: Journal of banking & finance 25 (2001) 11, pp. 1957-1988

Persistent link: https://www.econbiz.de/10005891873

Reading Interest Rate and Bond Futures Options' Smiles : How PIBOR and Notional Operators Appreciated the 1997 French Snap Election

Coutant, Sophie - 2011

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10013131873