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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence

Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136

Persistent link: https://www.econbiz.de/10011447894

Do simple traders' rules perform better than the GARCH model? : evidence from currency options in India

Bhat, Aparna - In: International journal of financial markets and derivatives 6 (2018) 3, pp. 183-209

Persistent link: https://www.econbiz.de/10011870308

Alternative currency hedging strategies with known covariances

Chen, Wei; Kritzman, Mark; Turkington, David - In: Journal of investment management : JOIM 13 (2015) 2, pp. 6-24

Persistent link: https://www.econbiz.de/10011635273

Do it with a smile : forecasting volatility with currency options

Reus, Lorenzo; Carrasco, José A.; Pincheira, Pablo - In: Finance research letters 34 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012436844

Mean-reverting no-arbitrage additive models for forward curves in energy markets

Latini, Luca; Piccirilli, Marco; Vargiolu, Tiziano - In: Energy economics 79 (2019), pp. 157-170

Persistent link: https://www.econbiz.de/10012172269

Cross-dynamics of exchange rate expectations : a wavelet analysis

Nikkinen, Jussi; Pynnönen, Seppo; Ranta, Mikko; … - In: International journal of finance & economics : IJFE 16 (2011) 3, pp. 205-217

Persistent link: https://www.econbiz.de/10009408606

An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies

Arizmendi Echecopar, Luis F. - In: Theoretical economics letters 3 (2013) 3, pp. 164-167

Persistent link: https://www.econbiz.de/10010239690

Restricted export flexibility and risk management with options and futures

Adam-Müller, Axel F. A.; Kit, Pong Wong - 2002

This paper examines the production, export and risk management decisions of a risk-averse competitive firm under exchange rate risk. The firm is export flexible in allocating its output to either the domestic market or a foreign market after observing the exchange rate. Export flexibility is...

Persistent link: https://www.econbiz.de/10011543653

Options and central bank currency market intervention : the case of Colombia

Keefe, Helena Glebocki; Rengifo, Erick W. - In: Emerging markets review 23 (2015), pp. 1-25

Persistent link: https://www.econbiz.de/10011304180

Currency options, implied interest rates and inflation targeting

Keefe, Helena Glebocki; Rengifo, Erick W. - In: International journal of economics and finance 11 (2019) 2, pp. 119-136

Persistent link: https://www.econbiz.de/10011995167