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A NOTE ON CURRENCY OPTION PRICING MODELS

✍ Scribed by Ho. C. Yang

Book ID
111105225
Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
437 KB
Volume
12
Category
Article
ISSN
0306-686X

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πŸ“œ SIMILAR VOLUMES

Information content of cross-sectional o
Information content of cross-sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen
✍ Brice Dupoyet πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 229 KB πŸ‘ 1 views

## Abstract This article implements a currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk‐neutral skewness and kurtosis with observed option prices on the Japanese yen and to analyze the informat

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✍ Easton, Stephen A. πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 448 KB πŸ‘ 2 views

This concept may be illustrated by considering two sequences: (a, = 1 -1/27 and (b, = 1 -1/ n). Both sequences converge to 1 but the sequence (a,) converges to 1 faster than the sequence (bJ. At the 0.05 precision level, the minimum convergence step for a, is 5, while the minimum convergence step f

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✍ Sarwar, Ghulam; Krehbiel, Timothy πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 244 KB πŸ‘ 1 views

This article examines the out-of-sample pricing performance and biases of the Heston's stochastic volatility and modified Black-Scholes option pricing models in valuing European currency call options written on British pound. The modified Black-Scholes model with daily-revised implied volatilities p