标题：Box C: Options Markets and the Expected Volatility of Bank Share Prices
期刊名称：Financial Stability Review / Reserve Bank of Australia
印刷版ISSN：1449-3896
电子版ISSN：1449-5260
出版年度：2005
卷号：SEP
出版社：Reserve Bank of Australia
摘要：As options markets have developed over time, options prices have increasingly been used to
derive the market’s assessment of the future volatility of a range of asset prices, including share
prices. From a fi nancial stability perspective, the expected volatility of bank share prices is of
particular interest. Given that fairly liquid markets now exist for options over the share prices
of the major Australian banks, the market’s assessment of the probability of large movements in
these prices can be estimated.1
Loading...
