Extracting market expectations from option prices?

Áron Gereben

Reserve Bank of New Zealand Bulletin, 2002, vol. 65, No 1

Abstract: Indicators of market expectations based on option prices are gaining popularity among central banks. The Reserve Bank recently began to use these indicators in financial stability and monetary policy analysis. This article provides a non-technical overview of these techniques and highlights how they might be used, through examples.

Date: 2002
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