Narrow search
Showing 1 - 10 of 47,795
Cover Image
Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An
Campa, Jose M.; Chang, Kevin; Refalo, James F. - IESE Business School, Universidad de Navarra - 2000
options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of …. The paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior …
Persistent link: https://www.econbiz.de/10005021807
Cover Image
Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
Cover Image
Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets.
León, Alejandro Díaz de; Casanova, Martha Elena - Banco de México - 2004
The paper’s objective is to identify the balance of risks that economic agents incorporate in oil and exchange rate markets (peso/US dollar). For that purpose, two methodologies that are normally used to estimate the expected risk-neutral probability functions for a determinate underlying...
Persistent link: https://www.econbiz.de/10004967928
Cover Image
The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10005621718
Cover Image
Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)
Aydin, Halil Ibrahim; Degerli, Ahmet; Ozlu, Pinar - Türkiye Cumhuriyet Merkez Bankası - 2010
This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar …
Persistent link: https://www.econbiz.de/10008629912
Cover Image
Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1996
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
Cover Image
The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1997
Persistent link: https://www.econbiz.de/10005800346
Cover Image
Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options
AYDIN, Halil İbrahim; DEĞERLİ, Ahmet; ÖZLÜ, Pınar - In: Iktisat Isletme ve Finans 25 (2010) 291, pp. 9-26
This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar …
Persistent link: https://www.econbiz.de/10008494032
Cover Image
Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - 1996
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
Cover Image
Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
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/10011577049