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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10010334336
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010326212
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Implied distributions from GBPUSD risk-reversals and implication for Brexit scenarios
Clark, Iain J.; Amen, Saeed - In: Risks 5 (2017) 3, pp. 1-17
Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date. Extracting implied distributions from...
Persistent link: https://www.econbiz.de/10011996658
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The Two-pillar policy for the RMB
Jermann, Urban J.; Wei, Bin; Yue, Vivian Z. - 2019
We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of...
Persistent link: https://www.econbiz.de/10012030290
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A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier
Hertrich, Markus - In: Swiss Journal of Economics and Statistics 151 (2015) 3, pp. 227-260
The put-call parity is free from distributional assumptions. It is tempting to assume that this parity also holds when an asset pricing model includes reflecting barriers. This paper shows that in the case of geometric Brownian motion with reflection such barriers cause the standard put-call...
Persistent link: https://www.econbiz.de/10011933334
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Equilibrium Valuation of Currency Options in a Small Open Economy
Cao, Melanie - 1997
derived from aggregate dividend must be priced for currency options. I further derive the foreign agents' risk …
Persistent link: https://www.econbiz.de/10011940599
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Casper G. - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012226735
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The Term Structure of Currency Futures' Risk Premia
Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Caspar - In: Journal of Money, Credit and Banking 54 (2022) 1, pp. 5-38
The use of futures instead of forwards exchange contracts completes the ma-turity spectrum of the correlation between spot yields and the premium. Wefind that the forward premium puzzle appears to be a precrisis phenomenonand is only observed for maturities longer than about 1 month....
Persistent link: https://www.econbiz.de/10013367049
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O Mercado interbancário de câmbio no Brasil
Garcia, Márcio G. P.; Urban, Fábio - 2005
We thoroughly describe the workings of the Brazilian interbank exchange rate market: agents, products, regulation, operation and risks. We analyse the recent evolution of the exchange rate market and came to a negative evaluation of the current exchange rate trading system, thereby suggesting an...
Persistent link: https://www.econbiz.de/10011807334
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Price discovery in the foreign currency futures and spot market
Rosenberg, Joshua V.; Traub, Leah G. - 2006
In this paper, we compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market. We develop a foreign exchange futures order flow measure that is a proxy for the order flow...
Persistent link: https://www.econbiz.de/10010283462