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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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Scotland's currency options
Peat, Jeremy - 2014
Persistent link: https://www.econbiz.de/10010392790
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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Distributions inplied by American currency futures options : A ghost's smile?
Cincibuch, Martin - In: The journal of futures markets 24 (2004) 2, pp. 147-178
Persistent link: https://www.econbiz.de/10001905030
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The performance of alternative valuation models in the OTC currency options market
Bollen, Nicolas P. B.; Rasiel, Emma - In: Journal of international money and finance 22 (2003) 1, pp. 33-64
Persistent link: https://www.econbiz.de/10001734737
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Foreign currency option values
Garman, Mark B.; Kohlhagen, Steven W. - In: Options : classic approaches to pricing and modelling, (pp. 313-321). 1999
Persistent link: https://www.econbiz.de/10001772462
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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
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The price of options illiquidity
Brenner, Menachem; Eldor, Rafi; Hauser, Shmuel - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 789-805
Persistent link: https://www.econbiz.de/10001604145
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Risk-neutralized at-the-money consistent historical distributions in currency options pricing
Cakici, Nusret; Foster, Kevin R. - In: The journal of computational finance 6 (2002) 1, pp. 25-47
Persistent link: https://www.econbiz.de/10001704738
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Pricing currency options in tranquil markets : modelling volatility frowns
Lim, Guay C.; Martin, Gael M.; Martin, Vance - 2002
Persistent link: https://www.econbiz.de/10001704963