Option-Implied Probability Distributions and Currency Excess Returns

1 January 1997

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.943500

Abstract

This paper describes a method of extracting the risk-neutral probability distribution of future exchange rates from option prices. In foreign exchange markets i

Keywords

CAPITAL ASSET PRICING MODEL
PROBABILITY DISTRIBUTION
OPTION PRICING
FOREIGN EXCHANGE MARKET

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