Search Results - subject:"Foreign Currency Options"

Modeling Volatility in Foreign Currency Option Pricing

Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational Finance Journal 13 (2009) 3-4, pp. 189-208

This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed...

Persistent link: https://www.econbiz.de/10010937155

Noise Traders? Trigger Rates, FX Options, and Smiles

Pierdzioch, Christian - 2000

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

Persistent link: https://www.econbiz.de/10010260624

The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis

Pierdzioch, Christian - 2000

currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

Persistent link: https://www.econbiz.de/10010260625

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

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

Persistent link: https://www.econbiz.de/10011476532

The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10011476547