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Is implied correlation worth calculating? : Evidence from foering exchange options

Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81

Persistent link: https://www.econbiz.de/10001497759

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/10001465153

Volatility patterns : theory and some evidence from the dollar-mark option market

Gesser, Vincent - In: The journal of derivatives : the official publication … 5 (1997) 2, pp. 46-61

Persistent link: https://www.econbiz.de/10001232635

Volatility and correlation in the pricing of equity, FX, and interest-rate options

Rebonato, Riccardo - 1999

Persistent link: https://www.econbiz.de/10001376705

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian; López Marín, José Alberto - 1997

Persistent link: https://www.econbiz.de/10001380840

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577552

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