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E-book
Author Krichene, Noureddine, author

Title Deriving market expectations for the euro-dollar exchange rate from option prices / prepared by Noureddine Krichene
Published [Washington D.C.] : International Monetary Fund, [2004]
©2004
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Description 1 online resource (24 pages)
Series IMF working paper ; WP/04/196
IMF working paper ; WP/04/196
Summary Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and interpolated option prices. To address robustness, two distributions, one from actual data and the other from interpolated data, were computed. The main conclusion of the paper is that traders have wide-ranging expectations, and large movements in either direction would not occur as a surprise. The main implication for monetary policy is that should markets become too volatile, then intervention may be required
Notes "October 2004."
At head of title: African Department
Bibliography Includes bibliographical references
Notes Print version record
Subject Assets -- Prices -- Econometric models
Dollar, American.
Economic forecasting.
Euro.
Foreign exchange rates -- European Union countries.
Foreign exchange rates.
Stock options -- Prices.
Form Electronic book
Author International Monetary Fund. African Department, issuing body
ISBN 1282051083
1451905351 (E-Book)
9781282051089
9781451905359