Essays on option-implied information
By: Sami Vähämaa
Series: Acta Wasaensia -- no. 131; Acta Wasaensia. Business Administration -- no. 52 -- Accounting and finance; Acta Wasaensia; Acta Wasaensia -- no. 52; Acta Wasaensia -- no 131
Publisher: Universitas Wasaensis
Published: 2004
Place of publication: Vasa
Language: eng
Number of pages: 137
Subjects: Foreign exchange futures; Monetary policy; Options (Finance); Prices; Econometric models; Hedging (Finance); European Central Bank
Notes: Thesis (doctoral)--University of Vaasa, 2004.

Includes bibliographical references.
Table of contents: title: Introduction; title: Delta hedging with the smile; title: Skewness and kurtosis adjusted Black-Scholes model; title: Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB; title: Implied volatility linkages among major European currencies.