There is agreement regarding the fundamental role of transaction costs in determining currency options market …

-term currency options. …

This paper derives a pricing model for payment deferred vulnerable options and applies the results to the pricing of … vulnerable range accrual notes. The valuation model for vulnerable options takes into account the possibility of the option … payment deferred vulnerable options, is also performed. Due to the product design, the pricing model for vulnerable range …

This paper introduces the autocorrelation effect of assets’ returns into the valuation model of reset options. The MA …(q) process, which is an extension of MA(1) process noted by Liao and Chen (2006), is applied to the valuation of reset options in … reset options. This paper demonstrates that positive autocorrelation characteristics lessens the delta jump and gamma jump …

volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the `implied BSM’ model in which an option’s … delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity … depend on the market regime. Using 16.5-years of daily closing prices for FTSE 100 vanilla options, out-of-sample tests of …