Extracting Market Expectations from Options Prices

Extracting Market Expectations from Options Prices
Author :
Publisher :
Total Pages : 28
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ISBN-10 : UVA:X004651546
ISBN-13 :
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Book Synopsis Extracting Market Expectations from Options Prices by : Áron Gereben

Download or read book Extracting Market Expectations from Options Prices written by Áron Gereben and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral pr