| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1876 |
| DP1876 Immigrant Labour and Workplace Safety | |
| Klaus F. Zimmermann; Thomas Bauer; Ralph Rotte; Andreas Million | |
| 发表日期 | 1998-11-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and several methods: Black (1976), a mixture of log-normals (as in Melik and Thomas (1997)), a Hermite expansion (as in Abken, Madan, and Ramamurtie (1996)), and a method based on Maximum Entropy (following Buchen and Kelly (1996)). The various methods give similar RNDs, yet, by allowing for somewhat dirty options prices, by providing a good fit to options prices, and by being fast, the Hermite expansion approach is the retained method for the data at hand. This approach also allows construction of options with a fixed time until maturity. A daily panel of options running from February 1997 to July 1997 reveals that operators in both markets anticipated the snap election a few days before the official announcement, and that a substantial amount of political uncertainty subsisted even a month after the elections. Uncertainty evolved with poll forecasts of who would form the future government. |
| 主题 | Financial Economics |
| 关键词 | Futures option pricing Notional Pibor Political risk Risk neutral density |
| URL | https://cepr.org/publications/dp1876 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531139 |
| 推荐引用方式 GB/T 7714 | Klaus F. Zimmermann,Thomas Bauer,Ralph Rotte,et al. DP1876 Immigrant Labour and Workplace Safety. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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