Dollar jump fears, 1984-1992: distributional abnormalities implicit in currency futures options
Article Abstract:
Deutsche mark futures options for 1984-92 and yen futures options for 1986-92 are investigated for deviations from the lognormal assumption of standard option pricing models. Two methods are employed: an atheoretic skewness premium and daily estimates of moments utilizing a model for pricing US foreign currency futures options under systematic exchange rate jump risk. Significant deviations over time is found in all moments, including implicit skewness and kurtosis. The implicit abnormalities imply future abnormalities in log-differenced $/DM futures prices but not $/yen.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
Effects of futures trading on the spot market bid-ask spread
Article Abstract:
The relationship between bid-ask spreads, the presence of a futures market and dealer risk factors are analyzed. Size of bid-ask spreads can be determined when dealers trade in both futures and in spot market. Risk and futures price is associated with the number of dealers in the futures market.
Publication Name: Manchester School
Subject: Economics
ISSN: 1463-6786
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Keynote article: federal ideals and constitutional realities in the Treaty of Amsterdam. A categorization of differentiated integration
- Abstracts: Wealth effects, distribution, and the theory of organization. part 2 Probabilities of preferences and cycles with super majority rules
- Abstracts: Domestic and international financial market responses to Federal deficit announcements. European monetary union: a new approach
- Abstracts: Negative option values are possible: the impact of Treasury bond futures on the cash U.S. Treasury market. The capital gain lock-in effect and long-horizon return reversal
- Abstracts: Thompson metric, contraction property and differentiability of policy functions. A turnpike theorem for continuous-time optimal-control models