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Pricing foreign currency options with stochastic volatility
Melino, Angelo; Turnbull, Stuart M. - 1988
Persistent link: https://www.econbiz.de/10000772329
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Currency options, implied interest rates and inflation targeting
Keefe, Helena Glebocki; Rengifo, Erick W. - In: International journal of economics and finance 11 (2019) 2, pp. 119-136
Persistent link: https://www.econbiz.de/10011995167
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Pricing foreign exchange options under intervention by absorption modeling
Saito, Taiga - In: Asia-Pacific financial markets 23 (2016) 1, pp. 85-106
Persistent link: https://www.econbiz.de/10011619875
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify implied probability distributions that might explain this...
Persistent link: https://www.econbiz.de/10011577049
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Overreactions in the foreign currency options market
Han, Joong H.; Kang, Byung Jin; Chang, Ki Cheon; Byun, … - In: Asia-Pacific journal of financial studies 45 (2016) 3, pp. 380-404
Persistent link: https://www.econbiz.de/10011550792
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Pricing currency options with intra-daily implied volatility
Hoque, Ariful; Kalev, Petko S. - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 43-56
Persistent link: https://www.econbiz.de/10010520230
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10011333144
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Predictability in implied volatility surfaces : evidence from the euro OTC FX market
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: The European journal of finance 20 (2014) 1/3, pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
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Dynamic interactions between government bonds and exchange rate expectations in currency options
Hui, Cho H.; Tan, Edward - 2016
Persistent link: https://www.econbiz.de/10012200973