the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign … currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …