The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market

Global Finance Journal ◽

10.1016/j.gfj.2006.06.006 ◽

2006 ◽

Vol 17 (1) ◽

pp. 50-74 ◽

Author(s):

Sascha Wilkens ◽

Klaus Röder

Keyword(s):

Interest Rate ◽

Informational Content ◽

Options Market ◽

Futures Options ◽

Interest Rate Futures

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Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market

Derivatives and Hedge Funds ◽

10.1057/9781137554178_18 ◽

2016 ◽

pp. 370-390

Author(s):

Sascha Wilkens

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Options Market ◽

Mixtures Of Distributions ◽

Futures Options ◽

Interest Rate Futures

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Option pricing based on mixtures of distributions: Evidence from the Eurex index and interest rate futures options market

Derivatives Use Trading &#38 Regulation ◽

10.1057/palgrave.dutr.1840020 ◽

2005 ◽

Vol 11 (3) ◽

pp. 213-231 ◽

Author(s):

Sascha Wilkens

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Options Market ◽

Mixtures Of Distributions ◽

Futures Options ◽

Interest Rate Futures

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Interest Rate Futures Options and Interest Rate Options

Financial Review ◽

10.1111/j.1540-6288.1990.tb00801.x ◽

1990 ◽

Vol 25 (3) ◽

pp. 345-370 ◽

Author(s):

Thomas S. Y. Ho ◽

Sang Bin Lee

Keyword(s):

Interest Rate ◽

Interest Rate Options ◽

Futures Options ◽

Interest Rate Futures

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Pricing interest rate futures options with futures-style margining

Journal of Futures Markets ◽

10.1002/fut.3990130103 ◽

1993 ◽

Vol 13 (1) ◽

pp. 15-22 ◽

Author(s):

Ren-Raw Chen ◽

Louis Scott

Keyword(s):

Interest Rate ◽

Futures Options ◽

Interest Rate Futures

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Short-Term Interest Rate Futures as Monetary Policy Forecasts

SSRN Electronic Journal ◽

10.2139/ssrn.1160197 ◽

2008 ◽

Author(s):

Giuseppe Ferrero ◽

Andrea Nobili

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Interest Rate Futures

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Interest Rate Futures

Derivatives ◽

10.1017/9781108236041.008 ◽

2017 ◽

pp. 88-112

Keyword(s):

Interest Rate ◽

Interest Rate Futures

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Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market

SSRN Electronic Journal ◽

10.2139/ssrn.1960223 ◽

2011 ◽

Author(s):

Lee A. Smales

Keyword(s):

Interest Rate ◽

Futures Market ◽

Market Returns ◽

Macroeconomic News ◽

Order Imbalance ◽

Interest Rate Futures

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Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework

SSRN Electronic Journal ◽

10.2139/ssrn.882665 ◽

1995 ◽

Author(s):

Ramaprasad Bhar ◽

Carl Chiarella

Keyword(s):

Interest Rate ◽

Interest Rate Futures

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The Informational Content of Empirical Measures of Real Interest Rate and Output Gaps for the United Kingdom

SSRN Electronic Journal ◽

10.2139/ssrn.641261 ◽

2004 ◽

Author(s):

Jens D.J. Larsen ◽

Jack McKeown

Keyword(s):

United Kingdom ◽

Interest Rate ◽

Real Interest Rate ◽

Informational Content ◽

Empirical Measures ◽

The United Kingdom ◽

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Market structure and microstructure, in international interest rate futures markets

Research in International Business and Finance ◽

10.1016/j.ribaf.2009.12.005 ◽

2010 ◽

Vol 24 (3) ◽

pp. 253-266 ◽

Author(s):

Frank McGroarty ◽

Owain ap Gwilym ◽

Steve Thomas

Keyword(s):

Interest Rate ◽

Market Structure ◽

Futures Markets ◽

Interest Rate Futures ◽

Structure And Microstructure

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