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| 03263nam##2200337za#4500 |
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| 001 | 9.571699 |
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| 003 | CaOODSP |
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| 005 | 20211126112845 |
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| 007 | cr ||||||||||| |
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| 008 | 150406|1999||||xxc|||||o f|0| 0 eng|d |
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| 022 | |a1701-9397 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/99-15E-PDF |
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| 110 | 2 |aBank of Canada. |
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| 245 | 14|aThe information content of interest rate futures options / |h[electronic resource]|cby Des Mc Manus. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |cSeptember 1999. |
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| 300 | |a55p.|bgraphs, tables |
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| 490 | 1 |aBank of Canada working paper|x1701-9397|v99-15 |
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| 500 | |a"Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several common methods of estimating risk-neutral probability density functions are examined. A method based on a mixture of lognormals density is found to rank first and a method based on a Hermite polynomial approximation is found to rank second. Several standard summary statistics are also examined, namely volatility, skewness, and kurtosis. The volatility measure is fairly robust across methods, while the skewness and kurtosis measure are model-sensitive. As an example, the days surrounding the September 1998 Federal Open Market Committee are examined."--Abstract. |
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| 500 | |aThe catalogue number (FB3-2/99-15E), ISBN (0-662-28179-9), and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. |
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| 504 | |aBibliography. |
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| 520 | 3 |aOptions prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several common methods of estimating risk-neutral probability density functions are examined. A method based on a mixture of lognormals density is found to rank first and a method based on a Hermite polynomial approximation is found to rank second. Several standard summary statistics are also examined, namely volatility, skewness, and kurtosis. The volatility measure is fairly robust across methods, while the skewness and kurtosis measure are model-sensitive. As an example, the days surrounding the September 1998 Federal Open Market Committee are examined.--Abstract |
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| 546 | |aRésumé en français. |
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| 590 | |a11-20-Supp|b2011-09-29 |
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| 690 | 07|aInterest rates|2gcpds |
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| 690 | 07|aMarkets|2gcpds |
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| 720 | 1 |aMc Manus, Des |
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| 776 | 0#|tThe information content of interest rate futures options / |w(CaOODSP)9.614936 |
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| 830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v99-15|w(CaOODSP)9.504604 |
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| 856 | 40|ahttp://publications.gc.ca|qPDF|s1.09 MB|uhttps://publications.gc.ca/collections/Collection/FB3-2-99-15E.pdf|y99-15 |
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