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Market Expectations and Option Prices : Techniques and Applications /

This book surveys and summarizes the numerous approaches used to extract information on market expectations from option prices. The various approaches are thoroughly explained and many practical issues are discussed, including: data selection, data preparation, and presentation and interpretation of...

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Bibliographic Details
Main Author: Mandler, Martin
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Heidelberg : Physica-Verlag HD : Imprint : Physica, 2003.
Series:Contributions to economics.
Subjects:
Economics.
Economics > Statistics.
Econometrics.
Macroeconomics.
Finance.
Electronic books.
Statistics.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Introduction
  • Part I: Theoretical Foundations: Arbitrage Pricing and Risk-Neutral-Probabilities; Survey of the Related Literature; Presenting and Interpreting Risk-Neutral Probabilities; Techniques for Extracting Risk-Neutral Probabilities from Option Prices; The Advantages and Disadvantages of Selected Techniques
  • Part II: Empirical Applications: Important Empirical Applications
  • A Review; Central-Bank Council Meetings and Money Market Uncertainty; Central-Bank Council Meetings
  • Event Studies; Summary and Conclusions.