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Contributions to Economics

Market Expectations and Option Prices

Techniques and Applications

Authors: Mandler, Martin

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About this book

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.

Table of contents (10 chapters)

Table of contents (10 chapters)

Buy this book

eBook $109.00
price for USA in USD
  • ISBN 978-3-642-57428-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-7908-0049-4
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Market Expectations and Option Prices
Book Subtitle
Techniques and Applications
Authors
Series Title
Contributions to Economics
Copyright
2003
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-57428-3
DOI
10.1007/978-3-642-57428-3
Softcover ISBN
978-3-7908-0049-4
Series ISSN
1431-1933
Edition Number
1
Number of Pages
X, 228
Topics

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