1 option
The Information Content of Prices in Derivative Security Markets / Louis Scott.
- Format:
- Book
- Government document
- Author/Creator:
- Scott, Louis.
- Series:
- IMF Working Papers; Working Paper ; No. 1991/132
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (42 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 1991.
- Language Note:
- English
- Summary:
- Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Description based on print version record.
- ISBN:
- 9781455216239
- 1455216232
- 9781462334766
- 1462334768
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