An Interpretation of Czech FX Options

Pavel Bouc and Martin Cincibuch ()

Czech Journal of Economics and Finance (Finance a uver), 2004, vol. 54, issue 7-8, 286-304

Abstract: This paper opens with a brief description of the Czech FX options market. Several case studies of the Czech koruna option market illustrate how options reflect market sentiment and structural breaks. Risk-neutral implied distributions are suggested as a monitoring tool. Moreover, clear indications of the rational, forward-looking behavior of option prices were identified before the Czech Republic?s 1997 currency crisis, and the results of statistical tests support the ?rational market? hypothesis.

Keywords: currency options; emerging markets; risk-neutral distributions; efficiency tests; OTC (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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Working Paper: Interpretation of Czech FX Options (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:54:y:2004:i:7-8:p:286-304

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