Implied Exchange Rate Distributions: Evidence from OTC Option Markets
收藏NBER1997-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w6179
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资源简介：
This paper uses a rich new data set of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability density function (pdf) over horizons of one and three months. We compare three alternative smoothing methods---cubic splines, an implied
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美国国家经济研究局创建时间：
1997-09-01
