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  • Search: subject_exact:"Devisenoptionsgeschäft"
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Year of publication
Subject
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Currency option 290 Devisenoption 290 Theorie 139 Theory 129 Optionspreistheorie 127 Option pricing theory 116 Volatilität 98 Volatility 91 Wechselkurs 63 Exchange rate 55 USA 45 United States 43 Schätzung 37 Estimation 34 Stochastischer Prozess 34 Hedging 33 Stochastic process 30 Prognoseverfahren 27 Currency derivative 25 Forecasting model 25 Währungsderivat 25 Foreign exchange management 22 Währungsmanagement 22 Wechselkurspolitik 21 Währungsrisiko 21 Exchange rate policy 20 Devisenmarkt 19 ARCH-Modell 18 Exchange rate risk 18 Foreign exchange market 18 Welt 18 World 18 ARCH model 16 US dollar 15 US-Dollar 15 Großbritannien 14 Japan 14 Yen 14 Deutschland 13 Devisenoptionsgeschäft 13
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Online availability
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Free 60 Undetermined 5
Type of publication
All
Article 187 Book / Working Paper 116
Type of publication (narrower categories)
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Article in journal 171 Aufsatz in Zeitschrift 171 Graue Literatur 78 Non-commercial literature 78 Working Paper 77 Arbeitspapier 64 Aufsatz im Buch 12 Book section 12 Hochschulschrift 8 Thesis 6 Collection of articles of several authors 3 Guidebook 3 Lehrbuch 3 Ratgeber 3 Sammelwerk 3 Accompanied by computer file 1 Aufsatzsammlung 1 Bibliografie enthalten 1 Bibliography included 1 Elektronischer Datenträger als Beilage 1 Forschungsbericht 1 Handbook 1 Handbuch 1 Medienkombination 1 Reprint 1 Statistics 1 Statistik 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 287 German 10 Polish 3 French 2 Spanish 2
Author
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Wystup, Uwe 18 Craig, Ben R. 8 Kit, Pong Wong 8 Pierdzioch, Christian 7 Reiswich, Dimitri 7 Hoque, Ariful 6 Keller, Joachim G. 6 Brenner, Menachem 5 Busch, Thomas 5 Campa, José 5 Chang, P. H. Kevin 5 Takahashi, Akihiko 5 Chalamandaris, Georgios 4 DeRosa, David F. 4 Haas, Markus 4 Lien, Da-hsiang Donald 4 Mittnik, Stefan 4 Takehara, Kohta 4 Tsekrekos, Andrianos E. 4 Adam-Müller, Axel F. A. 3 Chan, Felix 3 Christensen, Bent Jesper 3 Guo, Dajiang 3 Hakala, Jürgen 3 Hauser, Shmuel 3 Hui, Cho H. 3 Kanas, Angelos 3 Lim, Guay C. 3 Manzur, Meher 3 Morales, R. Armando 3 Nielsen, Morten Ørregaard 3 Nikkinen, Jussi 3 Refalo, James F. 3 Sarwar, Ghulam 3 Tucker, Alan L. 3 Vähämaa, Sami 3 Wei, Jason 3 Adjaoute, Kpate 2 Ahlip, Rehez 2 Armstrong, Angus 2
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Institution
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Centre for Analytical Finance <Århus> 2 Federal Reserve Bank of Cleveland 2 Banco Central do Brasil 1 Federal Reserve Bank of San Francisco 1 Financial Options Research Centre 1 Oesterreichische Nationalbank 1 École des Hautes Études Commerciales <Lausanne> 1
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Published in...
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The journal of futures markets 13 Working paper series / Centre for Practical Quantitative Finance 12 Journal of international money and finance 9 The journal of derivatives : the official publication of the International Association of Financial Engineers 8 CPQF Working Paper Series 6 International journal of theoretical and applied finance 6 IMF working paper 5 Review of derivatives research 5 Wiley finance series 5 Asia-Pacific financial markets 4 Global finance journal 4 International review of economics & finance : IREF 4 Journal of financial economics 4 Journal of multinational financial management 4 Review of quantitative finance and accounting 4 Working paper series / European Central Bank ; Eurosystem 4 Applied mathematical finance 3 Asia-Pacific journal of financial studies 3 Discussion paper / Centre for Economic Policy Research 3 Economic modelling 3 European financial management : the journal of the European Financial Management Association 3 International journal of finance & economics : IJFE 3 International review of financial analysis 3 Journal of banking & finance 3 Journal of economics and business 3 Journal of empirical finance 3 The European journal of finance 3 The journal of computational finance 3 The journal of finance : the journal of the American Finance Association 3 Wiley series in financial engineering 3 Working paper / National Bureau of Economic Research, Inc. 3 Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business 3 Applied financial economics 2 Discussion paper series / School of Economics and Finance, the University of Hong Kong 2 Economia aplicada : EA 2 Economia internazionale 2 Economics letters 2 Finance : revue de l'Association Française de Finance 2 International journal of economics and finance 2 International journal of financial engineering 2
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Source
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ECONIS (ZBW) 290 EconStor 13
Showing 1 - 50 of 303
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Currency option trading strategies as an alternative tool for central bank foreign exchange interventions
Keefe, Helena Glebocki; Rengifo, Erick W. - In: International journal of central banking : IJCB 15 (2019) 2, pp. 179-234
Persistent link: https://ebtypo.dmz1.zbw/10012028268
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The quanto theory of exchange rates
Kremens, Lukas; Martin, Ian - In: The American economic review 109 (2019) 3, pp. 810-843
Persistent link: https://ebtypo.dmz1.zbw/10011992874
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Equilibrium pricing of currency options under a discontinuous model in a two-country economy
Xing, Yu; Yang, Xiaoping - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 185-198
Persistent link: https://ebtypo.dmz1.zbw/10011507471
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Foreign exchange options and risk management : market dynamcis, models and human behaviour
Papacostas, Demetri; Tonin, Francesco - 2018
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Persistent link: https://ebtypo.dmz1.zbw/10011782880
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Pricing currency options with intra-daily implied volatility
Hoque, Ariful; Kalev, Petko S. - 2015
Persistent link: https://ebtypo.dmz1.zbw/10010520230
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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82
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...
Persistent link: https://ebtypo.dmz1.zbw/10011552872
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On the credibility of the Euro/Swiss Franc floor : a financial market perspective
Zimmermann, Heinz; Hertrich, Markus - 2015
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...
Persistent link: https://ebtypo.dmz1.zbw/10011569649
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Pricing currency options in the Heston/CIR double exponential jump-diffusion model
Ahlip, Rehez; Park, Laurence A. F.; Prodan, Ante - In: International journal of financial engineering 4 (2017) 1, pp. 1-30
Persistent link: https://ebtypo.dmz1.zbw/10011673127
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Currency kings : how billionaire traders made their fortune trading forex and how you can too
Robson, Ben - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011630003
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The quanto theory of exchange rates
Kremens, Lukas; Martin, Ian - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011670279
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Financial markets' views about the Euro-Swiss Franc floor
Jermann, Urban J. - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 553-565
Persistent link: https://ebtypo.dmz1.zbw/10011708088
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On the credibility of the Euro/Swiss Franc floor : a financial market perspective
Hertrich, Markus; Zimmermann, Heinz - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 567-578
Persistent link: https://ebtypo.dmz1.zbw/10011708093
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FX options and structured products
Wystup, Uwe - 2017 - Second edition
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Persistent link: https://ebtypo.dmz1.zbw/10011655416
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Coherent foreign exchange market models
Gnoatto, Alessandro - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-29
Persistent link: https://ebtypo.dmz1.zbw/10011686817
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/17) 3, pp. 109-149
Persistent link: https://ebtypo.dmz1.zbw/10011689688
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Implementation of local stochastic volatility model in FX derivatives
Zheng, J.; Yuan, X. - In: Applied quantitative finance, (pp. 57-69). 2017
Persistent link: https://ebtypo.dmz1.zbw/10011794953
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Applications in computational finance with a focus on approximation of financial time series by neurocomputing
Spreckelsen, Christian von - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010511665
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An independent Scotland’s currency options redux : assessing the costs and benefits of currency choice
MacDonald, Ronald - 2014
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...
Persistent link: https://ebtypo.dmz1.zbw/10010404563
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Scotland's currency options
Armstrong, Angus; Ebell, Monique C. - 2013
Persistent link: https://ebtypo.dmz1.zbw/10010364217
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A proposed solution for the chicken-egg dilemma in pricing currency options
Hogue, Ariful; Krishnamurti, Chandrasekhar - 2013
Persistent link: https://ebtypo.dmz1.zbw/10010246940
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Managing currency options in financial institutions : Vanna-Volga method
Lam, Yat-fai; Lai, Kin Keung - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011378382
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Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Shokrollahi, Foad; Kılıçman, Adem; Magdziarz, Marcin - In: International journal of financial engineering 3 (2016) 1, pp. 1-27
Persistent link: https://ebtypo.dmz1.zbw/10011532750
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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://ebtypo.dmz1.zbw/10011447894
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Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu; Li, Chang-Yi; Chen, Son-nan - In: Review of quantitative finance and accounting 46 (2016) 3, pp. 459-482
Persistent link: https://ebtypo.dmz1.zbw/10011595469
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Pricing options on trend-stationary currencies : applications to the Chinese yuan
Mebane, Michael - In: Journal of risk 18 (2015/16) 4, pp. 79-101
Persistent link: https://ebtypo.dmz1.zbw/10011578390
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Constructing volatility surfaces for cross FX rates
Yoon, Jungyeon - In: Asia-Pacific journal of financial studies 45 (2016) 4, pp. 646-665
Persistent link: https://ebtypo.dmz1.zbw/10011630767
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Cross economic determinants of implied volatility smile dynamics : three major European currency options
Han, Qian; Liang, Jufang; Wu, Boqiang - In: European financial management : the journal of the … 22 (2016) 5, pp. 817-852
Persistent link: https://ebtypo.dmz1.zbw/10011713158
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Overreactions in the foreign currency options market
Han, Joong H.; Kang, Byung Jin; Chang, Ki Cheon; Byun, … - In: Asia-Pacific journal of financial studies 45 (2016) 3, pp. 380-404
Persistent link: https://ebtypo.dmz1.zbw/10011550792
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Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219
Persistent link: https://ebtypo.dmz1.zbw/10011656179
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Understanding foreign exchange option returns : the information content of volatility
Kermiche, Lamya; Dupuy, Philippe - In: The journal of applied business research 32 (2016) 2, pp. 439-448
Persistent link: https://ebtypo.dmz1.zbw/10011500530
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571
Persistent link: https://ebtypo.dmz1.zbw/10011619055
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Pricing foreign exchange options under intervention by absorption modeling
Saito, Taiga - In: Asia-Pacific financial markets 23 (2016) 1, pp. 85-106
Persistent link: https://ebtypo.dmz1.zbw/10011619875
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Financial markets' views about the Euro-Swiss Franc floor
Jermann, Urban J. - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011436782
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Essays on foreign exchange option markets
Büsser, Ralf - 2012
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...
Persistent link: https://ebtypo.dmz1.zbw/10009656320
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FX option performance : an analysis of the value delivered by FX options since the start of the market
James, Jessica; Fullwood, Jonathan; Billington, Peter - 2015
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...
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Persistent link: https://ebtypo.dmz1.zbw/10010530154
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://ebtypo.dmz1.zbw/10011298899
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Options and central bank currency market intervention : the case of Colombia
Keefe, Helena Glebocki; Rengifo, Erick W. - In: Emerging markets review 23 (2015), pp. 1-25
Persistent link: https://ebtypo.dmz1.zbw/10011304180
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Multi-Währungssicherungen : Strategien zum Währungsmanagement
Becker, Jan-Henning; Lie, Ralph - In: Brennpunkt Risikomanagement und Regulierung, (pp. 253-267). 2015
Persistent link: https://ebtypo.dmz1.zbw/10010503295
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://ebtypo.dmz1.zbw/10011333144
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://ebtypo.dmz1.zbw/10011377526
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Information shares of two parallel currency options markets : trading costs versus transparency/tradability
Piccotti, Louis R.; Shraiber, Bentsi - In: Journal of empirical finance 32 (2015), pp. 210-229
Persistent link: https://ebtypo.dmz1.zbw/10011556820
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Euro at risk : the impact of member countries' credit risk on the stability of the common currency
Bekkour, Lamia; Jin, Xisong; Lehnert, Thorsten; … - In: Journal of empirical finance 33 (2015), pp. 67-83
Persistent link: https://ebtypo.dmz1.zbw/10011556851
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Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013
Hui, Cho H.; Fong, Tom - In: International review of economics & finance : IREF 40 (2015), pp. 174-190
Persistent link: https://ebtypo.dmz1.zbw/10011573573
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Alternative currency hedging strategies with known covariances
Chen, Wei; Kritzman, Mark; Turkington, David - In: Journal of investment management : JOIM 13 (2015) 2, pp. 6-24
Persistent link: https://ebtypo.dmz1.zbw/10011635273
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FX barrier options : a comprehensive guide for industry quants
Dadachanji, Zareer - 2015
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...
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Persistent link: https://ebtypo.dmz1.zbw/10011422408
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Information flow between sovereign CDS and dollar-yen currency option markets in the sovereign debt crisis of 2009 - 2011
Hui, Cho H.; Fong, Tom - 2011
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Persistent link: https://ebtypo.dmz1.zbw/10009424267
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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...
Persistent link: https://ebtypo.dmz1.zbw/10008689001
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2010 - Version 1: September, 8th 2009, Version 2: March, 20th 2010
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction...
Persistent link: https://ebtypo.dmz1.zbw/10011293913
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Calibration of multicurrency LIBOR market models
Pilz, Kay Frederik; Schlögl, Erik - 2010
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Persistent link: https://ebtypo.dmz1.zbw/10009564650
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Crash-neutral currency carry trades
Jurek, Jakub W. - In: Journal of financial economics 113 (2014) 3, pp. 325-347
Persistent link: https://ebtypo.dmz1.zbw/10010495135
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