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Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

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

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 … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

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

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887

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

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

A Fast Algorithm to Combine Binomial Option Pricing Framework with Stochastic Volatility Forecasts from a T-GARCH Model for Valuation of Path Dependent Options : A Path Integral Ap...

Gadiraju, Pavan - 2015

This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

Persistent link: https://www.econbiz.de/10013021590