Add to ORKGWe derive semi-closed form solutions for the forward and futures exchange rates, European foreign currency options, currency forward options, and currency futures options when the domestic and foreign interest rate movements follow mean reverting diffusion processes. These solutions are consistent with the Black-Scholes option formula so that they can be easily applied. The impact of interest rate uncertainty on theoretical prices of currency futures options is too significant to be neglected.
Every international business is affected by the ever-changing value of the currencies implied in con...
Understanding and quantifying the risk resulting from exchange rate changes is a fundamental challen...
Includes bibliographical references and indexThis book develops a new and interesting approach to th...
This research studies the valuation of spot, forward, and futures options on foreign exchange when t...
Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...
The economics of option pricing in general and foreign currency options in particular are usually ba...
This paper derives pricing equations for European puts and calls on formgn exchange. The call and pu...
Thesis (Ph.D.)--University of Washington, 2015-12Chapter 1: Historically, the currency derivative pr...
We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...
This paper presents a theoretical model to price foreign currency call options. Currency options are...
Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate...
We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...
In this paper, we build a general framework to price contingent claims on foreign currencies using t...
Futures option markets have experienced significant growth over the past decade as the contracts tra...
Every international business is affected by the ever-changing value of the currencies implied in con...
Every international business is affected by the ever-changing value of the currencies implied in con...
Understanding and quantifying the risk resulting from exchange rate changes is a fundamental challen...
Includes bibliographical references and indexThis book develops a new and interesting approach to th...
This research studies the valuation of spot, forward, and futures options on foreign exchange when t...
Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...
The economics of option pricing in general and foreign currency options in particular are usually ba...
This paper derives pricing equations for European puts and calls on formgn exchange. The call and pu...
Thesis (Ph.D.)--University of Washington, 2015-12Chapter 1: Historically, the currency derivative pr...
We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...
This paper presents a theoretical model to price foreign currency call options. Currency options are...
Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate...
We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...
In this paper, we build a general framework to price contingent claims on foreign currencies using t...
Futures option markets have experienced significant growth over the past decade as the contracts tra...
Every international business is affected by the ever-changing value of the currencies implied in con...
Every international business is affected by the ever-changing value of the currencies implied in con...
Understanding and quantifying the risk resulting from exchange rate changes is a fundamental challen...
Includes bibliographical references and indexThis book develops a new and interesting approach to th...