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Option-Implied Libor Rate Expectations Across Currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for...
Persistent link: https://www.econbiz.de/10013210457
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Recent developments in international currency derivatives
Orłowski, Lucjan T. - In: The emergence and evolution of markets, (pp. 194-216). 1997
Persistent link: https://www.econbiz.de/10001301863
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Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-jin - 1994
Persistent link: https://www.econbiz.de/10000888713
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Is there a premium for currencies correlated with volatility? : Some evidence from risk reversals
Pagès, Henri - 1996
Persistent link: https://www.econbiz.de/10000928028
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The forecasting ability of correlations implied in foreign exchange options
Campa, José Manuel; Chang, P. H. Kevin - In: Journal of international money and finance 17 (1998) 6, pp. 855-880
Persistent link: https://www.econbiz.de/10001381741
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Pouvoir prédictif de la volatilité implicite dans le prix des options de change
Rzepkowski, Bronka - 2001
Persistent link: https://www.econbiz.de/10001563631
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The forecasting ability of correlations implied in foreign exchange options
Campa, José Manuel; Chang, P. H. Kevin - 1997
Persistent link: https://www.econbiz.de/10000623860
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Pouvoir prédictif de la volatilité implicite dans le prix des options de change
Rzepkowski, Bronka - In: Economie & prévision : EP (2001) 2, pp. 71-97
Persistent link: https://www.econbiz.de/10001674730
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The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, Jose M. - 1997
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen …, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …
Persistent link: https://www.econbiz.de/10012472847
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The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, José Manuel - 2008
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen …, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …
Persistent link: https://www.econbiz.de/10012774954