Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10010508142
Persistent link: https://www.econbiz.de/10011647007
Persistent link: https://www.econbiz.de/10011647011
Persistent link: https://www.econbiz.de/10011647015
In this paper we study option-implied interest rate forecasts and the development of risk premium and state prices in the Euribor futures option market. Using parametric and non-parametric statistical calibration, we transform the risk-neutral option implied densities for the Euribor futures...
Persistent link: https://www.econbiz.de/10011077973