| Description |
x, 227 pages ; 24 cm |
| Series |
Contributions to economics |
|
Contributions to economics.
|
| Contents |
1. Introduction -- Pt. I. Theoretical Foundations -- 2. Arbitrage Pricing and Risk-Neutral Probabilities -- 3. Survey of the Related Literature -- 4. Presenting and Interpreting Risk-Neutral Probabilities -- 5. Techniques for Extracting Risk-Neutral Probabilities from Option Prices -- 6. The Advantages and Disadvantages of Selected Techniques -- Pt. II. Empirical Applications -- 7. Important Empirical Applications - A Review -- 8. Central-Bank Council Meetings and Money Market Uncertainty -- 9. Central-Bank Council Meetings - Event Studies -- 10. Summary and Conclusions |
| Summary |
"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 results. This enables the reader to easily implement these techniques in his own applied work."--BOOK JACKET |
| Notes |
Rev. version of the author's thesis (doctoral)--Justus Liebig-Universit at Giessen |
| Bibliography |
Includes bibliographical references |
| Subject |
Options (Finance) -- Prices -- Mathematical models.
|
|
Options (Finance) -- Mathematical models.
|
| LC no. |
2003045700 |
| ISBN |
379080049X softcover alkaline paper |
|
