A study on the impact of the first federal funds interest rate hike since the global financial crisis on market expectations and risk preferences
This empirical study analyses the impact of the first federal funds interest rate hike since the last global financial crisis. Using a mixture of lognormal, generalised beta of the second kind and lognormal-polynomial distributions, it is estimated risk-neutral densities on S&P 500 options. The...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2017
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| Texto completo: | http://hdl.handle.net/10400.14/23361 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/23361 |