Extracting market expectations from option prices?
AbstractIndicators of market expectations based on option prices are gaining popularity among central banks. The Reserve Bank recently began to use these indicators in financial stability and monetary policy analysis. This article provides a non-technical overview of these techniques and highlights how they might be used, through examples.
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Bibliographic InfoArticle provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.
Volume (Year): 65 (2002)
Issue (Month): (March)
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- Allan M. Malz, 1997. "Option-implied probability distributions and currency excess returns," Staff Reports 32, Federal Reserve Bank of New York.
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