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Extracting market expectations from option prices?

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  • Aron Gereben

    (Reserve Bank of New Zealand)

Abstract

Indicators 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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File URL: http://www.rbnz.govt.nz/research_and_publications/reserve_bank_bulletin/2002/2002mar65_1Gereben.pdf
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Bibliographic Info

Article provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.

Volume (Year): 65 (2002)
Issue (Month): (March)
Pages:

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Handle: RePEc:nzb:nzbbul:march2002:5

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References

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  1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  2. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, American Finance Association, vol. 49(3), pages 771-818, July.
  3. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers, University of California at Berkeley RPF-232, University of California at Berkeley.
  4. Christian Hawkesby, 1999. "A primer on derivatives markets," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 62, June.
  5. Leo Krippner & Michael Gordon, 2001. "Market expectations of the Official Cash Rate," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, June.
  6. Allan M. Malz, 1997. "Option-implied probability distributions and currency excess returns," Staff Reports, Federal Reserve Bank of New York 32, Federal Reserve Bank of New York.
  7. Aron Gereben, 2002. "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series DP2002/04, Reserve Bank of New Zealand.
  8. Ian Woolford, 2001. "Macro-financial stability and macroprudential analysis," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, September.
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Cited by:
  1. Aron Gereben & Leslie Hull & Ian Woolford, 2002. "Recent developments in New Zealand's financial stability," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, September.
  2. Axarloglou, Kostas & Visvikis, Ilias & Zarkos, Stefanos, 2013. "The time dimension and value of flexibility in resource allocation: The case of the maritime industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, Elsevier, vol. 52(C), pages 35-48.

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