Showing posts with label interest rate futures contracts. Show all posts
Showing posts with label interest rate futures contracts. Show all posts
Tuesday, March 18, 2008
Extracting implied probabilities from options
Link <http://www.bankofengland.co.uk/statistics/impliedpdfs/> to Bank of England's efforts at estimating probability density functions (pdfs) from the prices of option contracts traded on equity indices and interest rate futures contracts (see 'Notes on Bank of England Option Implied PDFs' for examples).
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