Similar Search Results

Target-zone rearrangement and exchange-rate behaviour in an options-based model

Naszódi, Anna - In: Közgazdasági Szemle (Economic Review - monthly of the … LI (2004) 7, pp. 638-658

This paper sets up an options-based model of the exchange rate in a target-zone system, according to which the observed … exchange rate is equivalent to a floating exchange rate adjusted to the value of two options. The strike prices of the options … are the limits of the band, but the two options are interrelated, which complicates valuation of them. Within that …

Persistent link: https://www.econbiz.de/10010963595

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

. We apply those models on FRF/DEM exchange rate options for two dates, for various maturities. Models differ when … important news hit the market (here the 1997 snap elections). The non-parametric model provides a good fit to options prices but …

Persistent link: https://www.econbiz.de/10005036193

Computing Currency Invariant Indices with an Application to Minimum Variance Currency Baskets

Hovanov, Nikolai V.; Kolari, James W.; Sokolov, Mikhail V. - 2011

This paper provides an exact and computable invariant currency value index (ICVI) which is independent of base currency choice. Thus, given a 1xed set of currencies, the index of a currency will have the same value, regardless of base currency choice. This currency index can be used as an...

Persistent link: https://www.econbiz.de/10014047628

On the Mark(s) Optimim Currency Areas in Germany.

Ghosh, A.R.; Wolf, H.C. - Economics Department, Stern School of Business - 1996

In 1990, the Deutschemark replaced the Ost-Mark as the sole legal in East Germany. The choice of a common money - instead of a continuation of two separate monetary systems - reflected, in large measure, political rather than economic considerations. This sentiment was encapsulated in the...

Persistent link: https://www.econbiz.de/10005106158

An algorithm for the quasivariational inequality arising in option pricing with transaction costs I

Noguchi, Tetsuya; Rustem, Berc - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706598

Option pricing with sparse grids

Mertens, Thomas - Society for Computational Economics - SCE - 2005

We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models numerically. Starting from the partial differential equation, we try to - at least partially - break the curse of dimensionality through sparse grids which will result from a...

Persistent link: https://www.econbiz.de/10005132688

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

, with numerical examples, the and effciency of this procedure in pricing interest rate options when the underlying interest …

Persistent link: https://www.econbiz.de/10005134854

An algorithm for the quasivariational inequality arising in option pricing with transaction costs II

Noguchi, Tetsuya; Rustem, Berc - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537651

Conditional Density Models for Asset Pricing

FILIPOVIC, Damir; HUGHSTON, Lane P.; MACRINA, Andrea

of the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with …

Persistent link: https://www.econbiz.de/10008922937

One numerical procedure for two risk factors modeling

Cocozza, Rosa; De Simone, Antonio - Volkswirtschaftliche Fakultät, … - 2011

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...

Persistent link: https://www.econbiz.de/10009147574

1
2
3
4
5
6
7
8
9
10
Next
Last