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Rare shock, two-factor stochastic volatility and currency option pricing

Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50

Persistent link: https://www.econbiz.de/10010351858

Equilibrium pricing of currency options under a discontinuous model in a two-country economy

Xing, Yu; Yang, Xiaoping - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 185-198

Persistent link: https://www.econbiz.de/10011507471

On hedge parameters of currency options

Choi, Youngna; Yoon, Yeomin - In: International journal of business 27 (2022) 1, pp. 42-59

Persistent link: https://www.econbiz.de/10013183759

Markov modulated jump-diffusions for currency options when regime switching risk is priced

Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10012314539

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities

Csávás, Csaba - 2008

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...

Persistent link: https://www.econbiz.de/10010322462