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E-Arch model for implied volatility term structure of FX options
Zhu, Yingzi; Avellaneda, Marco - 1999
Persistent link: https://www.econbiz.de/10001491262
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Non-linear granger causality in currency futures returns
Asimakopoulos, Ionnis; Ayling, Dave; Mahmood, Wan Mansor - 1998
Persistent link: https://www.econbiz.de/10001373665
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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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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
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Do simple traders' rules perform better than the GARCH model? : evidence from currency options in India
Bhat, Aparna - In: International journal of financial markets and derivatives 6 (2018) 3, pp. 183-209
Persistent link: https://www.econbiz.de/10011870308
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Black's model of interest rates as options, eigenfunction expansions and Japanese interest rates
Gorovoi, Viatcheslav; Linetsky, Vadim - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10001917699
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Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
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Financial markets' views about the Euro-Swiss Franc floor
Jermann, Urban J. - 2016
Persistent link: https://www.econbiz.de/10011436782
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Financial markets' views about the Euro-Swiss Franc floor
Jermann, Urban J. - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 553-565
Persistent link: https://www.econbiz.de/10011708088