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The Garman And Kolhagen Model Versus A Currency Option Pricing Model With Stochasti Interest Rates And Transaction Costs
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Book Synopsis THE GARMAN AND KOLHAGEN MODEL VERSUS A CURRENCY OPTION PRICING MODEL WITH STOCHASTIC INTEREST RATES AND TRANSACTION COSTS by : Mariusz TAMBORSKI
Download or read book THE GARMAN AND KOLHAGEN MODEL VERSUS A CURRENCY OPTION PRICING MODEL WITH STOCHASTIC INTEREST RATES AND TRANSACTION COSTS written by Mariusz TAMBORSKI and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Option Pricing with Stochastic Interest Rates and Transaction Costs by : Mariusz Tamborski
Download or read book Currency Option Pricing with Stochastic Interest Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Garman and Kolhagen Model Versus a Currency Option Pricing Model with Stochasti Interest Rates and Transaction Costs by : Mariusz Tamborski
Download or read book The Garman and Kolhagen Model Versus a Currency Option Pricing Model with Stochasti Interest Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Option Pricing with Stochastic Interst Rates and Transaction Costs by : Mariusz Tamborski
Download or read book Currency Option Pricing with Stochastic Interst Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Options And Exchange Rate Economics by : Zhaohui Chen
Download or read book Currency Options And Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998-04-21 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Book Synopsis Currency Option Pricing with Stochastic Interest Rates and Transaction Costs by : Mariusz Tamborski
Download or read book Currency Option Pricing with Stochastic Interest Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Equilibrium Approach to Pricing Foreign Currency Options by : Carsten Sørensen
Download or read book An Equilibrium Approach to Pricing Foreign Currency Options written by Carsten Sørensen and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a modified version of the Garman-Kohlhagen formula for pricing European currency options. The equilibrium approach deviates from the no-arbitrage approach by allowing domestic and foreign interest rates and their dynamics to be determined endogenously in the model. By using the relations between exchange rate dynamics and the dynamics of interest rates, I provide a new characterization of the relevant volatilities for European currency option pricing, which only depends on parameters describing the variability of the log-exchange rate. The implications of the model for the valuation of American currency options and optimal exercise strategies are examined by applying numerical methods.
Book Synopsis Currency Option Pricing with Mean Reversion and Uncovered Interest Parity by : Niklas Ekvall
Download or read book Currency Option Pricing with Mean Reversion and Uncovered Interest Parity written by Niklas Ekvall and published by . This book was released on 1993 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options with Stochastic Interest Rates by : Kaushik Ishwar Amin
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options by : Peter Carayannopoulos
Download or read book An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options written by Peter Carayannopoulos and published by . This book was released on 1993 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Is the Implied Volatility of the Garman-Kohlhagen Foreign Currency Option Pricing Model Constant by : Ronan Donohue
Download or read book Is the Implied Volatility of the Garman-Kohlhagen Foreign Currency Option Pricing Model Constant written by Ronan Donohue and published by . This book was released on 1997 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Derivative and International Term Structure Pricing in a Stochastic Interest Rate, Stochastic Volatility and Stochastic Jump Intensity World by : Shijun Liu
Download or read book Currency Derivative and International Term Structure Pricing in a Stochastic Interest Rate, Stochastic Volatility and Stochastic Jump Intensity World written by Shijun Liu and published by . This book was released on 2007 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We first derive closed form solutions for currency options, currency futures, future options and the term structures of interest rates in a diffusion-jump model of stochastic interest rate, stochastic volatility and time varying jump intensity in currency price. We demonstrate that the introduction of constant jump intensity in the nominal stochastic discount factor shifts the whole term structure of interest rates vertically but has no influence on its shape. However, when the jump intensity is endogenous (time varying) the shape of the term structure is influenced through the factor sensitivity of interest rates. We also document considerable improvement in currency option pricing precision over alternative models if the true model is diffusion-jump with endogenous intensity in a simulation experiment. We conclude that allowing for multidimensional interaction is of significant qualitative and quantitative importance for the pricing of currency options and for understanding the shape of the term structure.
Book Synopsis Are Standard Deviations Implied in Currency Option Prices Good Predictors of Future Exchange Rate Volatility? by : Mariusz Tamborski
Download or read book Are Standard Deviations Implied in Currency Option Prices Good Predictors of Future Exchange Rate Volatility? written by Mariusz Tamborski and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model by : John E. Gilster
Download or read book The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model written by John E. Gilster and published by . This book was released on 1981 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper solves a stochastic differential equation to demonstrate that the market imperfections of transaction costs and different borrowing and lending rates partially offset each other to yield a range of equilibrium prices for an option. The Black-Scholes model price is shown to be in the lower portion of, or entirely below, the equilibrium range. These observations are used to explain several of the mythical anomalies found in the option pricing literature. The paper also points out that under some conditions there may be NO equilibrium option price. Instead there may be a bounded disequilibrium within which a single option will offer a risk free return above the Treasury bill rate, while SIMULTANEOUSLY permitting borrowing below the borrowing rate.
Author :Christian Pierdzioch Publisher :Springer Science & Business Media ISBN 13 :9783540427452 Total Pages :232 pages Book Rating :4.4/5 (274 download)
Book Synopsis Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options by : Christian Pierdzioch
Download or read book Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options written by Christian Pierdzioch and published by Springer Science & Business Media. This book was released on 2001-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Book Synopsis Mathematical Models of Financial Derivatives by : Yue-Kuen Kwok
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Book Synopsis Financial Risk Manager Handbook by : Philippe Jorion
Download or read book Financial Risk Manager Handbook written by Philippe Jorion and published by John Wiley & Sons. This book was released on 2003-06-03 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to financial risk management as well as the only way to ace the GARP FRM Exam The Financial Risk Management Exam (FRM Exam) was developed by the Global Association of Risk Professionals (GARP) as a means of establishing an industry standard of minimum professional competence in the field. It is given annually in November for risk professionals who want to earn FRM certification. Authored by renowned financial risk management guru Phillipe Jorion, with the full support of the GARP, this is the definitive guide for those preparing to take the FRM Exam. With the help of questions (and solutions) taken from previous exams, Jorion coaches readers on quantitative methods, capital markets, and market, credit, operational, and risk management concepts and assessment techniques. In addition to being the indispensable guide for those aspiring to FRM certification, Financial Risk Manager Handbook also serves as a valued working reference for risk professionals. Phillipe Jorion, PhD (Irvine, CA), is a Professor of Finance at the Graduate School of Management at UC Irvine. He has also taught at Columbia University, Northwestern University, the University of Chicago, and the University of British Columbia.
