This paper investigates how Federal Reserve (Fed) actions influence market uncertainty. We consider two kinds of Fed events: the day of the Federal Open Market Committee (FOMC) meeting -- which includes a policy statement, press conference and release of a Summary of Economic Projections -- and...

We propose an extension of the transform approach to option pricing introduced in Duffie, Pan and Singleton (Econometrica 68(6) (2000) 1343–1376) and in Carr and Madan (Journal of Computational Finance 2(4) (1999) 61–73). We term this extension the "coherent state transform" approach, it...