Implied exchange rate distributions: evidence from OTC option markets 1 For helpful comments, we are grateful to Geert Bekaert, Jens Carsten Jackwerth, Antonio Roma, and conference participants at the JIMF-LIFE Workshop on Developments in Exchange Rate Modelling (Maastricht, April 1997), the UCLA-USC-UCI Joint Conference (Rancho Bernardo, May 1997), the 1997 Western Finance Association Meetings (San Diego), and the 1997 French Finance Association Meetings (Grenoble). We also thank seminar participants at the Bank of England, Bocconi, ESSEC, INSEAD, Pompeu Fabra, and the Universities of Amsterdam, Arizona, and Salerno. We also thank Richard Holmes of Citibanks, London and John Slee and John Quayle of Natwest Markets, London. 1
Titel:
Implied exchange rate distributions: evidence from OTC option markets 1 For helpful comments, we are grateful to Geert Bekaert, Jens Carsten Jackwerth, Antonio Roma, and conference participants at the JIMF-LIFE Workshop on Developments in Exchange Rate Modelling (Maastricht, April 1997), the UCLA-USC-UCI Joint Conference (Rancho Bernardo, May 1997), the 1997 Western Finance Association Meetings (San Diego), and the 1997 French Finance Association Meetings (Grenoble). We also thank seminar participants at the Bank of England, Bocconi, ESSEC, INSEAD, Pompeu Fabra, and the Universities of Amsterdam, Arizona, and Salerno. We also thank Richard Holmes of Citibanks, London and John Slee and John Quayle of Natwest Markets, London. 1