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Currency exchange rate risk hedging strategies using MXN/USD MexDer futures contracts
Santillán Salgado, Roberto Joaquín; Ulín-Lastra, … - In: International journal of bonds and derivatives 2 (2016) 3, pp. 186-210
Persistent link: https://www.econbiz.de/10011742331
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Currency futures market in India : an empirical analysis of market efficiency and volatility
Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84
Persistent link: https://www.econbiz.de/10011974206
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The Black-Scholes currency option pricing model : evidence for unbiasedness from three currencies against the US dollar
Azar, Samih Antoine; Tortian, Annie - In: International journal of economics and finance 5 (2013) 8, pp. 54-64
Persistent link: https://www.econbiz.de/10009787194
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Predictability in implied volatility surfaces : evidence from the euro OTC FX market
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: The European journal of finance 20 (2014) 1/3, pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
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The distribution of exchange rate returns and tahe pricing of currency opations
Lim, Guay C.; Lye, Jenny N.; Martin, Gael M.; Martin, Vance - In: Journal of international economics 45 (1998) 2, pp. 351-368
Persistent link: https://www.econbiz.de/10001395805
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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
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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
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Do it with a smile : forecasting volatility with currency options
Reus, Lorenzo; Carrasco, José A.; Pincheira, Pablo - In: Finance research letters 34 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012436844
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Estimating value-at-risk using quantile regression and implied volatilities
Lange, Petter Eilif de; Risstad, Morten; Westgaard, Sjur - In: The journal of risk model validation 16 (2022) 1, pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - 2023
Persistent link: https://www.econbiz.de/10013502696