the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates …

This paper calculates option portfolio Value at Risk (VaR) using Monte Carlo simulation under a risk neutral stochastic … implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into … account nonlinearity, passage of time, non-normality and changing of implied volatility. Two parameters in the model: the …