Showing 1 - 10 of 13
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10010298266
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/10010334336
-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/10010263203
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/10010318377
underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …
Persistent link: https://www.econbiz.de/10010282674
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10010958766
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10005022418
Persistent link: https://www.econbiz.de/10005800346
’s expectation of Enron’s risk of collapse. I find that the options market remained far too optimistic about the stock until just …
Persistent link: https://www.econbiz.de/10005542133
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