Implied Foreign Exchange Risk Premia
利用外汇期权隐含波动率和无套利理论，估算英镑、美元和德国马克三种货币之间的外汇风险溢价，并与调查数据对比。
Abstract This paper uses implied volatilities from foreign exchange option prices and the results of no‐arbitrage theory to estimate foreign exchange risk premia. In particular, under the assumption of no‐arbitrage, the foreign exchange risk premium is driven by the difference between investors’ market prices of risk in the two currencies. In an international economy with three currencies, sterling, US dollar and Deutschemark, we can use the information on implied volatilities of the three cross rates to derive estimates of implied or ex ante market prices of risk and of foreign exchange risk premia. The foreign exchange risk premia estimates are then compared to survey‐based risk premia.