Interpretation of Czech FX Options

Martin Cincibuch () and Pavel Bouc

Archive of Monetary Policy Division Working Papers from Czech National Bank

Abstract: We describe the Czech koruna option market and explore the behaviour of option prices during three eventful periods of the history of the Czech koruna. We point out their forward-looking nature and also show how implied risk neutral distribution might be used for monitoring and interpretation of market sentiment. Finally, we analyse the predictive power of the at-the-money-forward implied volatility. Our results for koruna options are consistent with results published for other currencies and show the efficiency of the market.

Date: 2001-10
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Related works:
Journal Article: An Interpretation of Czech FX Options (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:mpaper:2001/36

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