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Market Expectations and Option Prices

Techniques and Applications

  • Martin Mandler

Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages I-X
  2. Introduction

    1. Martin Mandler
      Pages 1-4
  3. Theoretical Foundations

  4. Empirical Applications

    1. Front Matter
      Pages 119-119
    2. Martin Mandler
      Pages 121-133
    3. Martin Mandler
      Pages 199-201
  5. Back Matter
    Pages 203-227

About this book

Introduction

This book surveys and summarizes the numerous approaches used to extract information on market expectations from option prices. The various approaches are thoroughly explained and many practical issues are discussed, including: data selection, data preparation, and presentation and interpretation of results. This enables the reader to easily implement these techniques in his own applied work.
Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings.

Keywords

Arbitrage Central Banking Financial Markets Market Expectations Monetary Policy Option Prices Risk-Neutral Probabilities Volatility

Authors and affiliations

  • Martin Mandler
    • 1
  1. 1.Department of Economics and Business AdministrationUniversity of GießenGießenGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-57428-3
  • Copyright Information Physica-Verlag Heidelberg 2003
  • Publisher Name Physica, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-7908-0049-4
  • Online ISBN 978-3-642-57428-3
  • Series Print ISSN 1431-1933
  • Buy this book on publisher's site