Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...

The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 floor, trading at non-zero cost, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 and abandoned on January 15, 2015. We estimate...

This paper demonstrates that all of the currency options available to an independent Scotland come with the price tag of an austerity programme to the tune of £40bn. This is due to the need to accumulate foreign exchange reserves. So called Plan A - being part of a formal monetary union - comes...

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...

This book is a quantitative quide to barrier options in FX environments. Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in...

Get the little known - yet crucial - facts about FX optionsDaily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective...