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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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The volatility risk premium embedded in currency options
Sin, Low B.; Zhang, Shaojun - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 4, pp. 803-832
Persistent link: https://www.econbiz.de/10003242811
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The Black-Scholes currency option pricing model : evidence for unbiasedness from three currencies against the US dollar
Azar, Samih Antoine; Tortian, Annie - In: International journal of economics and finance 5 (2013) 8, pp. 54-64
Persistent link: https://www.econbiz.de/10009787194
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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Dynamic volatility trading strategies in the currency option market
Guo, Dajiang - In: Review of derivatives research 4 (2000) 2, pp. 133-154
Persistent link: https://www.econbiz.de/10001566795
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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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...
Persistent link: https://www.econbiz.de/10001656178
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10001465153
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076