Tekijä: | Campa, J. Chang, P. Reider, R. |
Otsikko: | Implied exchange rate distributions: evidence from OTC option markets |
Lehti: | Journal of International Money and Finance
1998 : FEB, VOL. 17:1, p. 117-160 |
Asiasana: | EXCHANGE RATES DISTRIBUTION MARKETS |
Kieli: | eng |
Tiivistelmä: | This paper uses a rich new dataset of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability density function over horizons of 1 and 3 months. The authors compare three alternative smoothing methods - cubic splints, an implied binomial tree (trimmed and untrimmed), and a mixture of lognormals - for transforming option data into probability density function. Despite their methodological differences, the three approaches lead to a similar pdf clearly distinct from the lognormal benchmark, and typically characterized by skewness and leptokurtosis. |
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