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| Author: | Coutant, S. Jondeau, E. Rockinger, M. |
| Title: | Reading PIBOR futures options smiles: the 1997 snap election |
| Journal: | Journal of Banking and Finance
2001 : NOV, VOL. 25:11, p. 1957-1987 |
| Index terms: | ELECTIONS FUTURES MARKETS INTEREST RATES OPTIONS RISK POLITICS |
| Language: | eng |
| Abstract: | In this paper, the authors compare various methods that extract a Risk Neutral Density (RND) out of Paris Interbank Offered Rate (PIBOR) interest-rate futures options and they investigate how traders react to a political event. |
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