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Extracting information from options premia: the case of the return of the Italian lira to the ERM of the EMS

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  • Bernardino Adão
  • Jorge Barros Luís

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  • Bernardino Adão & Jorge Barros Luís, 1997. "Extracting information from options premia: the case of the return of the Italian lira to the ERM of the EMS," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:b199713
    as

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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/ab199713_e.pdf
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    References listed on IDEAS

    as
    1. José M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "ERM bandwidths for EMU and after: evidence from foreign exchange options," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 12(24), pages 53-89.
    2. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
    3. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Jorge Barros Luís, 2000. "The Estimation of Risk Premium Implicit in Oil Prices," Working Papers w200002, Banco de Portugal, Economics and Research Department.
    2. Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.

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