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Implied exchange rate distributions: evidence from OTC option markets

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References

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1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
1994Implied Binomial Trees1,749 cited
1996Recovering Probability Distributions from Option Prices1,086 cited
1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
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1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
1978The information content of option prices and a test of market efficiency485 cited
1988The statistical properties of daily foreign exchange rates: 1974–1983432 cited
1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
1990

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Target Zones and Realignments

297 cited

199520 Testing option pricing models269 cited

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