Recent developments in extracting information from options markets

The Monetary Policy Committee is provided with information from options markets to quantify market uncertainty about the future course of financial asset prices. The performance of alternative techniques for extracting information from options prices are compared. Using a technique for estimating un...

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Bibliographic Details
Published in:Bank of England quarterly bulletin 2000-02, Vol.40 (1), p.50-60
Main Authors: Clews, Roger, Panigirtzoglou, Nikolaos, Proudman, James
Format: Article
Language:English
Subjects:
Assets
Estimating techniques
Financial economics
Futures
Information acquisition
Interest rates
International finance
Monetary policy
Neutrality
Option pricing
Options markets
Performance evaluation
Prices
Probability
Put & call options
Securities prices
Stock prices
Studies
Uncertainty
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Summary:The Monetary Policy Committee is provided with information from options markets to quantify market uncertainty about the future course of financial asset prices. The performance of alternative techniques for extracting information from options prices are compared. Using a technique for estimating uncertainty about interest rates at a constant horizon short way into the future, how this uncertainty has evolved since the Bank was granted operational independence in May 1997 is explored.
ISSN:0005-5166
2399-4568