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Differences in beliefs and currency risk premiums

Beber, Alessandro; Breedon, Francis J.; Buraschi, Andrea - In: Journal of financial economics 98 (2010) 3, pp. 415-438

Persistent link: https://www.econbiz.de/10008827023

Path-dependent currency options with mean reversion

Wong, Hoi Ying; Lau, Ka Yung - In: The journal of futures markets 28 (2008) 3, pp. 275-293

Persistent link: https://www.econbiz.de/10003699322

Valuing foreign currency options with a mean-reverting process : a study of Hong Kong dollar

Hui, Cho H.; Lo, C. F.; Yeung, V.; Fung, L. - In: International journal of finance & economics : IJFE 13 (2008) 1, pp. 118-134

Persistent link: https://www.econbiz.de/10003705590

Diffusion models for exchange rates in a target zone

Stegenborg Larsen, Kristian; Sørensen, Michael - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 285-306

Persistent link: https://www.econbiz.de/10003543132

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

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

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...