procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS …

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen …