Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices
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References listed on IDEAS
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fabrice Rousseau & Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2008. "Irrational Financial Markets," Economics, Finance and Accounting Department Working Paper Series n1870108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2014.
"Irrational Market Makers,"
Presses universitaires de Grenoble, vol. 35(1), pages 107-145.
- Fabrice Rousseau & Laurent Germain & Anne Vanhems, 2013. "Irrational Market Makers," Economics, Finance and Accounting Department Working Paper Series n261-13.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Bednarik, Radek, 2008.
"Analýza volatility devizových kurzů vybraných ekonomik
[The Analysis of Volatility of Selected Countries' Exchange Rates]," MPRA Paper 15046, University Library of Munich, Germany.
More about this item
KeywordsExchange rates; International financial markets; Finite difference; Implied risk-neutral distribution; Inverse problem; Market expectations; Option prices; Smile; State prices; Volatility; equation; probability; skewness; probability distribution; probabilities; Computational Techniques; General Financial Markets: Other;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-CBA-2005-10-22 (Central Banking)
- NEP-EEC-2005-10-22 (European Economics)
- NEP-FIN-2005-10-22 (Finance)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-IFN-2005-10-22 (International Finance)
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