Pricing Foreign Currency and Cross-Currency Options Under GARCH.

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option princing methodology of Duan (1995) to a two-country setting.

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Year of publication:	1999
Authors:	Wei, J.Z. ; Duan, J.C.
Institutions:	Rotman School of Management, University of Toronto
Subject:	PRICING \| CURRENCIES \| FINANCIAL MARKET

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Series:	Rotman School of Management - Finance.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	E40 - Money and Interest Rates. General ; G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005664007