currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …

efficiency of the different volatility forecasts. The investigation is pursued in the Dax index options market, by using … a humped shape, with out of the money options being less informative than at the money ones. Overall, the best forecast …

for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes below (above) the current … volatility forecasts. The investigation is pursued in the Dax index options market, by using synchronous prices matched in a one …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …

options data. Overall findings support a better performance of the modified Derman and Kani’s methodology. …

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

implied volatility derived from call and put options on the USD/EUR exchange rate. The daily first difference of the USD …

Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities … vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average …