Market Expectations and Option Prices: Techniques and Applications
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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Heidelberg
Physica-Verlag HD
2003
|
| Edition: | 1st ed. 2003 |
| Series: | Contributions to Economics
|
| Subjects: | |
| Links: | https://doi.org/10.1007/978-3-642-57428-3 https://doi.org/10.1007/978-3-642-57428-3 |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (X, 228 p) |
| ISBN: | 9783642574283 |
| DOI: | 10.1007/978-3-642-57428-3 |
Staff View
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| spelling | Mandler, Martin Verfasser aut Market Expectations and Option Prices Techniques and Applications by Martin Mandler 1st ed. 2003 Heidelberg Physica-Verlag HD 2003 1 Online-Ressource (X, 228 p) txt rdacontent c rdamedia cr rdacarrier Contributions to Economics 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 Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Rationale Erwartung (DE-588)4121553-9 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreistheorie (DE-588)4135346-8 s Zinsstrukturtheorie (DE-588)4117720-4 s Rationale Erwartung (DE-588)4121553-9 s DE-604 Erscheint auch als Druck-Ausgabe 9783790800494 Erscheint auch als Druck-Ausgabe 9783642574290 https://doi.org/10.1007/978-3-642-57428-3 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Mandler, Martin Market Expectations and Option Prices Techniques and Applications Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4121553-9 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | Market Expectations and Option Prices Techniques and Applications |
| title_auth | Market Expectations and Option Prices Techniques and Applications |
| title_exact_search | Market Expectations and Option Prices Techniques and Applications |
| title_full | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_fullStr | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_full_unstemmed | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_short | Market Expectations and Option Prices |
| title_sort | market expectations and option prices techniques and applications |
| title_sub | Techniques and Applications |
| topic | Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie Rationale Erwartung Zinsstrukturtheorie Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-57428-3 |
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