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Arbitrage Bounds on Cross Currency Options
Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony - 2022
The currency options markets, both the dollar denominated options markets and the cross-currency options markets, carry important economic information about the evolution of exchange rates and the pricing of risk. However, it is challenging to integrate all this information together. This paper...
Persistent link: https://www.econbiz.de/10014235879
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Exchange option pricing under variance gamma-like models
Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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Crypto quanto and inverse options
Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043
Persistent link: https://www.econbiz.de/10014370619
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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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Foreign exchange option pricing : a practitioner's guide
Clark, Iain K. - 2011
Persistent link: https://www.econbiz.de/10008648613
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A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris; Dotsis, George; Markellos, Raphaēl N. - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
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FX risk-neutral valuation relationships for the S u jump-diffusion family
Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10009508891
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Cross market price support and agricultural development : quanto options valuation for cash grains in Mexico
Chiu, Leslie J. Verteramo; Turvey, Calum Greig - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 33-51
Persistent link: https://www.econbiz.de/10010252217
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Pricing multiasset cross-currency options
Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
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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