The information content of interest rate futures options / by Des Mc Manus. : FB3-2/99-15E
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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The information content of interest rate futures options / by Des Mc Manus. |
| Titre de la série | Working paper1192-543499-15 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| Note(s) | "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. Bibliography. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1999. |
| Reliure | Softcover |
| Description | v, 46p. : graphs, tables ; 28 cm. |
| ISBN | 0-662-28179-9 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Numéro de catalogue du ministère | 99-15 |
| Descripteurs | Interest rates Markets |
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