An Interpretation of Czech FX Options
Bouc, Pavel; Cincibuch, Martin
Year: 2004 Volume: 54 Issue: 7 -8 Pages: 286-304
Abstract: This paper opens with a brief description of the Czech FX options market. Several case studies of the Czech koruna option market illustrate how options reflect market sentiment and structural breaks. Risk-neutral implied distributions are suggested as a monitoring tool. Moreover, clear indications of the rational, forward-looking behavior of option prices were identified before the Czech Republic?s 1997 currency crisis, and the results of statistical tests support the ?rational market? hypothesis.
JEL classification: G13, G14, G15
Keywords: currency options; emerging markets; risk-neutral distributions; efficiency tests; OTC
RePEc: n/aci
 Attachment [PDF] |  Print  Recommend to others |
