Arbeitspapier
Extracting implicit density functions from short term interest rate options
Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for the period between August and November 2000. During this period the ECB raised the interest rates and intervened in the exchange markets, both actions that could have an effect on the expectations of a short term interest rate. As will be shown the expected mean as well as the higher moments of the distribution show quite large movements, which can in part be associated directly with these interventions.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,47
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Financial Markets and the Macroeconomy
Monetary Policy
Estimation: General
- Thema
-
monetary policy
implicit density function
interest rate options
market expectations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nielsen, Hannah
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049957
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nielsen, Hannah
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
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