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Pricing currency options with intra-daily implied volatility

Hoque, Ariful; Kalev, Petko S. - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 43-56

Persistent link: https://www.econbiz.de/10010520230

Understanding foreign exchange option returns : the information content of volatility

Kermiche, Lamya; Dupuy, Philippe - In: The journal of applied business research 32 (2016) 2, pp. 439-448

Persistent link: https://www.econbiz.de/10011500530

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

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 … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

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