IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812812551_0007.html
   My bibliography  Save this book chapter

Option Prices And The Probability Distribution Of Exchange Rates

In: Currency Options And Exchange Rate Economics

Author

Listed:
  • Allan M. Malz

    (Markets Group of the Federal Reserve Bank of New York, USA)

Abstract

The following sections are included:IntroductionOption Prices and the Probability Distribution of Future Asset PricesConstructing Elementary Contingent Claims from Option PricesThe Distributional Hypothesis of the Black–Scholes ModelKurtosis, Skew and Option PricesMethods of Extracting Probability DensitiesImplied Probability Distributions and the Risk PremiumConclusionsAppendix: Proof of Proposition 1References

Suggested Citation

  • Allan M. Malz, 1998. "Option Prices And The Probability Distribution Of Exchange Rates," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 7, pages 108-137, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0007
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812812551_0007
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812812551_0007
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vergote, Olivier & Puigvert Gutiérrez, Josep Maria, 2012. "Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2804-2823.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812812551_0007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.