The discontinuation of the EUR/CHF minimum exchange rate : information from option-implied break probabilities
Year of publication: |
2021
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Authors: | Funke, Michael ; Loermann, Julius ; Moessner, Richhild |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 3, p. 63-79
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Subject: | forecasting | options | risk-neutral probability densities | Swiss franc | Schweiz | Switzerland | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Schweizer Franken | Frankreich | France | Schätzung | Estimation | Volatilität | Volatility | Optionsgeschäft | Option trading |
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