Add to ORKGThe well-known Black Scholes model has been improved, tested by the academicians since it has seen the light of the day in 1973. Literature is much less plethoric about the Garman-Kohlhagen model (its extension to FX option valuation). This study will confront that model to the reality of FX options market. By using two sets of data representative of the most traded currency pairs on the forex, EUR / USD and EUR / GBP, we assess how it performs. Keywords: FX options, option pricing, Black-Scholes model, Garman-Kohlhagen model
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes mod...
This paper aims at comparing the accuracy and pricing performance of two popular and widely used cur...
This project investigates the underlying properties of the Black-Scholes option pricing model and un...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
Understanding and quantifying the risk resulting from exchange rate changes is a fundamental challen...
There are two dimensions to this paper. The first part aims at investigating two heteroscedastic mod...
This particular study has been undertaken to form a basis of comparison in the 2 main pricing techni...
Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two...
An Introductory to Continuous-Scale Derivatives Evaluation in a Non-Arbitrage Environment on the Bas...
With the introduction of the Black and Scholes (1973) and R. C. Merton (1973) (BSM) option pricing m...
Since Black and Scholes [1] published their path-breaking paper, option pricing theory has received ...
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes mod...
This paper aims at comparing the accuracy and pricing performance of two popular and widely used cur...
This project investigates the underlying properties of the Black-Scholes option pricing model and un...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
Understanding and quantifying the risk resulting from exchange rate changes is a fundamental challen...
There are two dimensions to this paper. The first part aims at investigating two heteroscedastic mod...
This particular study has been undertaken to form a basis of comparison in the 2 main pricing techni...
Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two...
An Introductory to Continuous-Scale Derivatives Evaluation in a Non-Arbitrage Environment on the Bas...
With the introduction of the Black and Scholes (1973) and R. C. Merton (1973) (BSM) option pricing m...
Since Black and Scholes [1] published their path-breaking paper, option pricing theory has received ...
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
In order to further develop the derivative markets, the Chinese government has decided to launch sto...
Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes mod...