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GARCH option pricing and implied FX volatility indices

Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52

Persistent link: https://www.econbiz.de/10013173960

Pricing European currency options with high-frequency data

Le, Thi; Hoque, Ariful - In: Risks : open access journal 10 (2022) 11, pp. 1-15

. Furthermore, the shorter maturity intraday IV is suitable for pricing options for a shorter horizon. In comparison, the intraday …

Persistent link: https://www.econbiz.de/10014225987

Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify implied probability distributions that might explain this...

Persistent link: https://www.econbiz.de/10011577049

Hedging strategies for exports of cereals and cereal products to the European Community

Braga, Francesco S. - In: The journal of futures markets 11 (1991) 3, pp. 347-369

Persistent link: https://www.econbiz.de/10001104841

The characteristics of foreign exchange hedging: a comparative analysis

Naylor, Michael J.; Greenwood, Raymond C. - In: Journal of Asia Pacific business 9 (2008) 2, pp. 121-152

Persistent link: https://www.econbiz.de/10003739307

Green bonds as hedging assets before and after COVID : a comparative study between the US and China

Guo, Dong; Zhou, Peng - 2021

-haven assets like gold can be used to hedge against ordinary risks, but tail dependence can substantially reduce the hedging … effectiveness. In contrast, green bonds focus on long-term, sustainable investments, so they become an important hedging tool … the two countries have thick tails and tail dependence with time-varying features. The hedging effectiveness does decline …

Persistent link: https://www.econbiz.de/10013175797