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Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark

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Author Info
Malz, Allan M.
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File URL: http://www.sciencedirect.com/science/article/B6V9S-3VWTBKY-3/2/3b20b588427acd20c92c052b210170f9
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 15 (1996)
Issue (Month): 5 (October)
Pages: 717-748
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Handle: RePEc:eee:jimfin:v:15:y:1996:i:5:p:717-748

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Hisashi Nakamura & Shigenori Shiratsuka, 1999. "Extracting market expectations from option prices: case studies in Japanese option markets," Working Paper Series WP-99-1, Federal Reserve Bank of Chicago. [Downloadable!]
    Other versions:
  2. Gabriele Galati & Patrick Higgins & Owen F. Humpage & William Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Paper 0618, Federal Reserve Bank of Cleveland. [Downloadable!]
    Other versions:
  3. Mundaca, Gabriela, 2003. "A Drift of the "Drift Adjustment Method"," Memorandum 16/2002, Oslo University, Department of Economics. [Downloadable!]
  4. Christian Walter & Jose Lopez, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  5. Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Bernardo Guimaraes, 2008. "Vulnerability of Currency Pegs: Evidence from Brazil," CEP Discussion Papers dp0871, Centre for Economic Performance, LSE. [Downloadable!]
  7. Mc Manus, Des, 1999. "The Information Content of Interest Rate Futures Options," Working Papers 99-15, Bank of Canada. [Downloadable!]
  8. Dean Corbae & Chris Neely & Paul Weller, 1998. "Endogenous realignments and the sustainability of a target," Working Papers 1994-009, Federal Reserve Bank of St. Louis. [Downloadable!]
  9. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Cho-Hoi Hui & Chi-Fai Lo, 2008. "A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach," Working Papers 0809, Hong Kong Monetary Authority. [Downloadable!]
  11. Guimarães, Bernardo, 2007. "Currency Crisis Triggers: Sunspots or Thresholds?," CEPR Discussion Papers 6487, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  12. H. Nielsen, . "Extracting implicit density functions from short term interest rate options," Sonderforschungsbereich 373 2001-47, Humboldt Universitaet Berlin.
  13. Robert R Bliss & Nikolaos Panigirtzoglou, . "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England. [Downloadable!]
  14. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research Department. [Downloadable!]
  15. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Bronka Rzepkowski, 2000. "The Expectations of a Hong Kong Dollar Devaluation and their Determinants," Working Papers 2000-04, CEPII research center. [Downloadable!]
  17. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies : Reading Interest Rate Options Smiles," Working Papers CEB 06-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  18. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Research Papers 200510, University of Liverpool Management School. [Downloadable!]
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