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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

Noise trading, central bank interventions, and the informational content of foreign currency options

Pierdzioch, Christian - 2001

Persistent link: https://www.econbiz.de/10001626608

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714

Expectations hypothesis of the term structure of implied volatility : evidence from foreign currency and stock index options

Byoun, Soku; Kwok, Chuck C. Y.; Park, Hun Y. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 126-151

Persistent link: https://www.econbiz.de/10002221002

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

FX volatility smile construction

Reiswich, Dimitri; Wystup, Uwe - 2009

Persistent link: https://www.econbiz.de/10003901919

Essays on foreign exchange option markets

Büsser, Ralf - 2012

Die vorliegende Doktorarbeit gliedert sich in drei Teile, welche als eigenständige Forschungsarbeiten konzipiert sind. Gemeinsam ist den drei Teilen, dass sie unterschiedliche Aspekte von Devisenoptionsmärkten beleuchten. Im ersten Teil wird die Genauigkeit von risikoneutralen...

Persistent link: https://www.econbiz.de/10009656320

Exchange option pricing under stochastic volatility : a correlation expansion

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10008695501