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Performance of alternative currency option pricing models : a study of the Japanese yen
Dupoyet, Brice Valery - 2003
Persistent link: https://www.econbiz.de/10003564768
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Hedging effectiveness of currency options and currency futures
Chang, Jack S. K.; Shanker, Latha - In: The journal of futures markets 6 (1986) 2, pp. 289-305
Persistent link: https://www.econbiz.de/10003512501
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Markov-modulated jump : diffusions for currency option pricing
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 461-469
Persistent link: https://www.econbiz.de/10003981142
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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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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
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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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Currency option pricing in a credible exchange rate target zone
Veestraeten, Dirk - In: Applied financial economics 23 (2013) 10/12, pp. 951-962
Persistent link: https://www.econbiz.de/10009772210
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International tax arbitrage, currency options and put-call parity conditions
Strobel, Frank - In: Journal of international financial markets, … 22 (2012) 3, pp. 473-486
Persistent link: https://www.econbiz.de/10009623551
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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
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Explanatory factors and causality in the dynamics of volatility surfaces implied from OTC Asian-Pacific currency options
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Computational economics 41 (2013) 3, pp. 327-358
Persistent link: https://www.econbiz.de/10009711327