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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
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Walter, Christian (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001577552
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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
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Assessing central bank credibility during the ERM crises : comparing option and spot market-based forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce Marshall - In: Journal of financial stability 2 (2006) 1, pp. 28-54
Persistent link: https://www.econbiz.de/10003779112
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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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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10011447894
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Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2004
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...
Persistent link: https://www.econbiz.de/10002518243
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Assessing central bank credibility during the EMS crises : comparing option and spot market-based forecasts
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003025694
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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