This paper describes a method of extracting the risk-neutral probability distribution of future exchange rates from option prices. In foreign exchange markets i

This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as

This thesis empirically analyses implied risk neutral probability distributions of SMI index options. The contribution of this thesis is its data base (SMI inde

This paper uses a rich new data set of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability dens