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Local volatility pricing models for long-dated FX derivatives

Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402

Persistent link: https://www.econbiz.de/10010187656

"Wait and see" or "fear of floating"?

Lei, Xiaowen; Lu, Dong; Kasa, Kenneth - In: Macroeconomic dynamics 26 (2022) 4, pp. 833-884

Persistent link: https://www.econbiz.de/10013270219

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

Testing the Implied Volatility Smile of a Lognormal Distribution on a 6 – Month EUR/USD Call Currency Option Contract Using a Random Standard Normal Variable

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …

Persistent link: https://www.econbiz.de/10012890740

Duru-Kleinert Asymptotic Expansions for Long-Term Foreign Exchange and Swaptions Implied Volatility Smile

Decamps, Marc - 2012

In this paper, we develop asymptotic formulas for long-dated Foreign Exchange (FX) and swaptions implied volatilities. We extend the method exposed in Decamps and De Schepper (2009b) to a generic model with time-dependent parameters. Imposing a condition on the skew, we derive averaging formulas...

Persistent link: https://www.econbiz.de/10013116583

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Grzelak, Lech A. - 2014

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

Persistent link: https://www.econbiz.de/10013069789

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

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