Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000
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Cited by:
- Vahamaa, Sami, 2005.
"Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB,"
Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
- Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank.
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More about this item
Keywords
interest rate futures options; implied risk-neutral probability density functions; market expectations; monetary policy;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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