procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the … British Pound almost doubled before it withdrew from the ERM. This risk becomes statistically significant on September 15 …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the … British Pound almost doubled before it withdrew from the ERM. This risk becomes statistically significant on September 15 …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the … British Pound almost doubled before it withdrew from the ERM. This risk becomes statistically significant on September 15 …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …

underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …

underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts …