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Original Articles

Interest rate spreads implicit in options: Spain and Italy against Germany

Pages 155-161 | Published online: 07 Oct 2010

References

  • Bahra , B. 1996 . Implied risk-neutral probability density functions from option prices: theory and application . Bank of England Economic Bulletin , August : 299 – 309 .
  • Campa , J. M. and Chang , P. H. K. 1997 . The forecasting ability of correlations implied in foreign exchange options , NBER Working Paper Series, Working Paper 5974
  • De Grauwe , P. 1996 . Forward interest rates as predictors of EMU , CEPR Discussion Paper Series No. 1395
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  • Favero , C. , Giavazzi , F. , Iacone , F. and Tabellini , G. July 1997 . Extracting Information from Asset Prices: The methodology of EMU calculators , Discussion paper series, Paper No. 1676 July ,
  • Morgan , J. P. January 15 1997 . EMU Calculator Handbook January 15 , London Foreign exchange research: technical series
  • Söderlind , P. and Svensson , L. E. O. 1997 . New techniques to extract market expectations from financial instruments . Journal of Monetary Economics , 40 : 383 – 429 .

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