Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB-Reference-Cited by-同舟云学术

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Published:2005-01 Issue:1 Volume:57 Page:23-38
ISSN:0148-6195
Container-title:Journal of Economics and Business
language:en
Short-container-title:Journal of Economics and Business

Author:

Vähämaa Sami

Publisher

Elsevier BV

Subject

Economics and Econometrics,General Business, Management and Accounting

Reference44 articles.

1. Bahra, B. (1997). Implied risk-neutral probability density functions from option prices: Theory and application (Bank of England Working Paper Series, No. 66).

2. Beber, A., Brandt, M. (2003). The effect of macroeconomic news on beliefs and preferences: Evidence from the options market (NBER Working Paper Series, No. 9914).

3. Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives;Bhar;European Journal of Finance,2000

4. The pricing of commodity contracts;Black;Journal of Financial Economics,1976

5. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

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