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Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

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

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

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013

, 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 …

Persistent link: https://www.econbiz.de/10010326212

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724823

Price discovery in the foreign currency futures and spot market

Rosenberg, Joshua V.; Traub, Leah G. - 2006

In this paper, we compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market. We develop a foreign exchange futures order flow measure that is a proxy for the order flow...

Persistent link: https://www.econbiz.de/10010283462

Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...

Persistent link: https://www.econbiz.de/10010410031

Central Bank Interventions and Implied Exchange Rate Correlations

Nikkinen, Jussi - 2011

from the market prices of OTC currency options. The results show that central bank interventions significantly affect the …

Persistent link: https://www.econbiz.de/10013131457

The Cross-Section of Currency Volatility Premia

Della Corte, Pasquale - 2019

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

Persistent link: https://www.econbiz.de/10012902489

An Intermediation-Based Model of Exchange Rates

Malamud, Semyon - 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. In our model, intermediaries bargain with their customers and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, generates an...

Persistent link: https://www.econbiz.de/10012908612

Systematic Currency Volatility Risk Premia

Bang Nielsen, Andreas - 2018

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The dollar factor volatility risk premium is negative...

Persistent link: https://www.econbiz.de/10012920214

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

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