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Vanna-volga pricing
Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003737656
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Pricing currency options in the presence of time-varying volatility and non-normalities
Lim, Guay C.; Martin, Gael M.; Martin, Vance - In: Journal of multinational financial management 16 (2006) 3, pp. 291-314
Persistent link: https://www.econbiz.de/10003328760
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
Persistent link: https://www.econbiz.de/10003901919
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
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Modeling volatility in foreign currency option pricing
Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational finance journal : MF ; quarterly … 13 (2009) 3/4, pp. 189-208
Persistent link: https://www.econbiz.de/10008654497
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Forward and future implied volatility
Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432
Persistent link: https://www.econbiz.de/10009154904
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Managing currency options in financial institutions : Vanna-Volga method
Lam, Yat-fai; Lai, Kin Keung - 2016
Introduction -- Development of theories on currency option management -- Volatility recovery -- Value …
Persistent link: https://www.econbiz.de/10011378382