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The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market

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  • Wilkens, Sascha
  • Roder, Klaus
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 17 (2006)
    Issue (Month): 1 (September)
    Pages: 50-74

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    Handle: RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74

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    Web page: http://www.elsevier.com/locate/inca/620162

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    Cited by:
    1. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(5), pages 412-433.
    2. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(5), pages 260-270, December.

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