Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date. Extracting implied distributions from the GB...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2017-07-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/5/3/35 |