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The price of options illiquidity

Brenner, Menachem; Eldor, Rafi; Hauser, Shmuel - 1999

Persistent link: https://www.econbiz.de/10001378802

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian; López Marín, José Alberto - 1997

Persistent link: https://www.econbiz.de/10001380840

Pricing cross-currency options

Rumsey, John - In: The journal of futures markets 11 (1991) 1, pp. 89-93

Persistent link: https://www.econbiz.de/10001101539

Currency-translated foreign equity options : the American case

Toft, Klaus Bjerre - In: Advances in futures and options research : a research annual 9 (1997), pp. 233-264

Persistent link: https://www.econbiz.de/10001226751

Cross currency option pricing

Blenman, Lloyd P. - In: Global finance journal 8 (1997) 1, pp. 159-166

Persistent link: https://www.econbiz.de/10001228390

Estimation of empirical pricing equations for foreign-currency options : econometric models vs. arbitrage-free models

Lieu, Der-ming - In: International review of economics & finance : IREF 6 (1997) 3, pp. 259-286

Persistent link: https://www.econbiz.de/10001230481

The performance of alternative valuation models in the OTC currency options market

Bollen, Nicolas P. B.; Rasiel, Emma - In: Journal of international money and finance 22 (2003) 1, pp. 33-64

Persistent link: https://www.econbiz.de/10001734737

Foreign currency option values

Garman, Mark B.; Kohlhagen, Steven W. - In: Options : classic approaches to pricing and modelling, (pp. 313-321). 1999

Persistent link: https://www.econbiz.de/10001772462

FX volatility smile construction

Reiswich, Dimitri; Wystup, Uwe - 2010 - Version 1: September, 8th 2009, Version 2: March, 20th 2010

The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction...

Persistent link: https://www.econbiz.de/10011293913

Essays on foreign exchange option markets

Büsser, Ralf - 2012

Die vorliegende Doktorarbeit gliedert sich in drei Teile, welche als eigenständige Forschungsarbeiten konzipiert sind. Gemeinsam ist den drei Teilen, dass sie unterschiedliche Aspekte von Devisenoptionsmärkten beleuchten. Im ersten Teil wird die Genauigkeit von risikoneutralen...

Persistent link: https://www.econbiz.de/10009656320