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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...
Persistent link: https://www.econbiz.de/10011552872
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The effectiveness of a predictor-corrector technique in European currency option valuation
Heo, Sangwoo; Yang, Jinsuk; Lim, SeungCheol; … - In: Global business and finance review 24 (2019) 4, pp. 1-7
Persistent link: https://www.econbiz.de/10012161859
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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
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The Black-Scholes currency option pricing model : evidence for unbiasedness from three currencies against the US dollar
Azar, Samih Antoine; Tortian, Annie - In: International journal of economics and finance 5 (2013) 8, pp. 54-64
Persistent link: https://www.econbiz.de/10009787194
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Consistent pricing and hedging of an FX options book
Bisesti, Lorenzo; Castagna, Antonio; Mercurio, Fabio - In: The Kyoto economic review 74 (2005) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10003379596
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Path-dependent currency options with mean reversion
Wong, Hoi Ying; Lau, Ka Yung - In: The journal of futures markets 28 (2008) 3, pp. 275-293
Persistent link: https://www.econbiz.de/10003699322
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Asian exchange rate options under stochastic interest rates : pricing as a sum of delayed payment options
Aase Nielsen, Jørgen; Sandmann, Klaus - 1998
Persistent link: https://www.econbiz.de/10001387512
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Volatility trading
Sinclair, Euan Fraser Fitzpatrick - 2008
Persistent link: https://www.econbiz.de/10003676946
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Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626