What moves option- implied bond market expectations?
Article Abstract:
The impact of surprises in macroeconomics news announcements on bond market expectations is analyzed. The data of macroeconomics announcements and the bond future options used for the empirical analysis are also described. The methodology used to extract market expectations from option prices is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
Article Abstract:
The applicability of the Heath-Jarrow-Morton framework, to derive an analytical approximation function for the pricing of American options in foreign currency under stochastic volatility and double jump, is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Turn-of-the-month and intramonth effects: explanation from the important macroeconomic news announcements
Article Abstract:
The various anomalies such as, intramonth and turn-of-the-month anomalies, arising on SP100 stock market asset returns are examined. The impact of macroeconomic news announcements on these anomalies is analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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