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Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity : Evidence from the Currency Options Market
Hoque, Ariful - 2010
Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to inefficiency in the currency options market. Through transaction costs, the effects of these violations are reduced to negligible levels, indicating that PCP is not a sufficient condition for an...
Persistent link: https://www.econbiz.de/10013148854
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Hedging options including transaction costs in incomplete markets
Safarian, Mher M. - 2014
In this paper we study a hedging problem for European options taking into account the presence of transaction costs. In … martingale price process shows the existence of a risk minimizing hedging strategy. …
Persistent link: https://www.econbiz.de/10010344251
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Optimal hedging of options with small but arbitrary transaction cost structure
Whalley, A. E.; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582836
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Optimal Dynamic Hedging of Equity Options : Residual-Risks, Transaction-Costs, & Conditioning
Petrelli, Andrea - 2019
) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …
Persistent link: https://www.econbiz.de/10012906140
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Asset pricing and hedging in financial markets with fixed and proportional transaction costs
Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10014566422
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Vanna-volga pricing
Wystup, Uwe - 2008
replicating portfolios whose associated hedging costs are added to corresponding Black-Scholes prices to produce smile …
Persistent link: https://www.econbiz.de/10011293927
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Foreign exchange quanto options
Wystup, Uwe - 2008
, etc. The valuation theory is covered for example in [3] and [1]. …
Persistent link: https://www.econbiz.de/10011293928
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001577552
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2010 - Version 1: September, 8th 2009, Version 2: March, 20th 2010
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction...
Persistent link: https://www.econbiz.de/10011293913