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 …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries …. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … almost all countries except Thailand witnessed non-existence of volatility shocks at least once in a three year pre …