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Bank of Canada RSS Feedsen2024-03-29T13:53:05+00:00The Information Content of Interest Rate Futures Options
https://www.bankofcanada.ca/1999/09/working-paper-1999-15/
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]1999-09-14T08:35:44+00:00enThe Information Content of Interest Rate Futures Options1999-09-14Financial marketsInterest ratesWorking Paper 1999-15 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-15.pdfThe Information Content of Interest Rate Futures OptionsDes Mc ManusSeptember 1999GG1G14