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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for 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...
Persistent link: https://www.econbiz.de/10011476532
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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The term structure of forward exchange premia and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H. - 1993
Persistent link: https://www.econbiz.de/10000874096
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Devisenoptionen : Bewertung, Preisbildung und Auswirkungen auf die Effizienz des Devisenmarktes
Hiller, Christoph B. - 1996
Persistent link: https://www.econbiz.de/10000946743
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The term structure of forward exchange rates and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H.; Taylor, Mark P. - 1992
Persistent link: https://www.econbiz.de/10000845274
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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998
Persistent link: https://www.econbiz.de/10000998139
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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A dynamic analysis of exchange market volatility
Sengupta, Jati K. - In: Journal of foreign exchange and international finance : … 10 (1997) 4, pp. 259-273
Persistent link: https://www.econbiz.de/10001400565