Market Expectations and Option Prices
Language: English
Published by Physica-Verlag HD, 2003
- Softcover
- New
Condition: New
£ 80.43
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Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexa.
Seller Inventory # 5309405
- Title
- Market Expectations and Option Prices
- Author
- Martin Mandler
- Publisher
- Physica-Verlag HD
- Publication year
- 2003
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 379080049X
- ISBN 13
- 9783790800494
- Seller catalogs
- Sozialwissenschaften/Recht/Wirtschaft
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings.
"About the title" may belong to another edition of this title.
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