Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Year of publication: |
2022
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Authors: | Swan, Tina T. ; Swan, Bruce Q. ; Chen, Xinfu |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 29.2022, 1, p. 33-61
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Subject: | affine model | forward bias | global factor | gray rhino | risk premium | Term structure | Theorie | Theory | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative | Volatilität | Volatility | CAPM |
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