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Author : Ghulam Sarwar
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (378 download)
Download or read book The Pricing of Currency Options with Stochastic Volatilities written by Ghulam Sarwar and published by . This book was released on 1997 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Melino, Angelo
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (247 download)
Download or read book Pricing Foreign Currency Options with Stochastic Volatility written by Melino, Angelo and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhaohui Chen
Publisher : World Scientific
ISBN 13 : 9789810226190
Total Pages : 224 pages
Book Rating : 4.2/5 (261 download)
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 with total page 224 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.
Author : Iain J. Clark
Publisher : John Wiley & Sons
ISBN 13 : 1119978602
Total Pages : 308 pages
Book Rating : 4.1/5 (199 download)
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Author : Ping Wang
Publisher :
ISBN 13 :
Total Pages : 140 pages
Book Rating : 4.:/5 (969 download)
Download or read book Pricing American and European Foreign Currency Options with Stochastic Volatility written by Ping Wang and published by . This book was released on 2002 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Pierdzioch
Publisher : Springer Science & Business Media
ISBN 13 : 9783540427452
Total Pages : 232 pages
Book Rating : 4.4/5 (274 download)
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.
Author : Shijun Liu
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Iain J. Clark
Publisher : John Wiley & Sons
ISBN 13 : 0470683686
Total Pages : 308 pages
Book Rating : 4.4/5 (76 download)
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-01-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Author : Antoine Petrus Cornelius van der Ploeg
Publisher : Rozenberg Publishers
ISBN 13 : 9051705778
Total Pages : 358 pages
Book Rating : 4.0/5 (517 download)
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brice Dupoyet
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (318 download)
Download or read book Performance of Alternative Currency Option Pricing Models written by Brice Dupoyet and published by . This book was released on 2003 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Skew in Currency Options written by Peter Carr and published by . This book was released on 2008 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that the risk-neutral distribution of currency returns is relatively symmetric on average. However, on any given date, the conditional currency return distribution can show strong asymmetry. This asymmetry varies greatly over time and often switch directions. We design and estimate a class of models that capture these unique features of the currency options prices and perform much better than traditional jump-diffusion stochastic volatility models.
Author : Dajiang Guo
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Risk Premium of Volatility Implicit in Currency Options written by Dajiang Guo and published by . This book was released on 1997 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical investigation of the variance process and the market price of variance risk implied in the foreign currency options market. There are three principal contributions. First, the parameters of Heston's (1993) mean-reverting square root stochastic volatility model are estimated using dollar/mark option prices from 1987 to 1992. Second, it is shown that these quot;impliedquot; parameters can be combined with historical moments of the dollar/mark exchange rate to deduce an estimate of the market price of variance risk. These estimates are found to be nonzero, time varying, and of sufficient magnitude to imply that the compensation for variance risk is a significant component of the risk premia in the currency market. Finally, the out-of-sample test suggests that the historical variance and the Hull and White (1987) implied variance contain no additional information beyond that imbedded in the Heston implied variance.
Author : Ako Doffou
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes written by Ako Doffou and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized Vasicek term-structure framework. Numerical examples show that the model prices of European currency futures options are similar to those given by Bates' and Black's models in the absence of jumps and when the volatilities of the domestic and foreign interest rates and futures price are negligible. Changes in these volatilities affect the futures options prices. bates' and Black's models underprice the European currency futures options in both the presence and the absence of jumps. The mispricing increases with the volatilities of interest rates and futures prices.
Author : Lei Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (793 download)
Download or read book An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing written by Lei Zhang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thadavillil Jithendranathan
Publisher :
ISBN 13 :
Total Pages : 105 pages
Book Rating : 4.:/5 (258 download)
Download or read book Stochastic Interest Rate and Stochastic Volatility Models of Currency Futures Options written by Thadavillil Jithendranathan and published by . This book was released on 1993 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alex Zilber
Publisher :
ISBN 13 : 9789062159567
Total Pages : 67 pages
Book Rating : 4.1/5 (595 download)
Download or read book FX Option Pricing with Stochastic Volatility and Smile Dynamics written by Alex Zilber and published by . This book was released on 2004 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
