Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?
收藏NBER1991-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w3910
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资源简介：
Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the applicability of the standard Black-Scholes formula. First,
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美国国家经济研究局创建时间：
1991-11-01
