IDEAS home Printed from https://ideas.repec.org/p/cnb/mpaper/2001-36.html
   My bibliography  Save this paper

Interpretation of Czech FX Options

Author

Listed:
  • Martin Cincibuch
  • Pavel Bouc

Abstract

We describe the Czech koruna option market and explore the behaviour of option prices during three eventful periods of the history of the Czech koruna. We point out their forward-looking nature and also show how implied risk neutral distribution might be used for monitoring and interpretation of market sentiment. Finally, we analyse the predictive power of the at-the-money-forward implied volatility. Our results for koruna options are consistent with results published for other currencies and show the efficiency of the market.

Suggested Citation

  • Martin Cincibuch & Pavel Bouc, 2001. "Interpretation of Czech FX Options," Archive of Monetary Policy Division Working Papers 2001/36, Czech National Bank.
    • Handle: RePEc:cnb:mpaper:2001/36
    as

    Download full text from publisher

    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/mp_wp/download/wp36_01.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    3. Jesús Crespo Cuaresma & Tomáš Slacík, 2010. "Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 32-48.
    4. Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík, 2010. "Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries," Working Papers IES 2010/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.

    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cnb:mpaper:2001/36. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jan Babecky (email available below). General contact details of provider: https://edirc.repec.org/data/cnbgvcz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.