Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options
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- Değerli, Ahmet & Fendoğlu, Salih, 2015.
"Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations,"
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- Ahmet Degerli & Salih Fendoglu, 2013. "Reserve Option Mechanism as a Stabilizing Policy Tool : Evidence from Exchange Rate Expectations," Working Papers 1328, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.
- Aron Gereben, 2002. "Extracting market expectations from option prices?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, March.
- Michelle Lewis, 2012. "Market Perceptions of Exchange Rate Risk," Reserve Bank of New Zealand Analytical Notes series AN2012/12, Reserve Bank of New Zealand.
More about this item
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-06-13 (All new papers)
- NEP-FIN-2002-06-13 (Finance)
- NEP-FMK-2002-06-13 (Financial Markets)
- NEP-IFN-2002-06-13 (International Finance)
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