Analogy Based Valuation of Currency Options

Analogy based Valuation of Commodity Options

Valuation of European Currency Options in Financial Engineering

In this paper, we try to solve the valuation of currency option in financial engineering. We use a generalized jump-diffusion system to describe the spot Foreign Exchange (FX) rate and apply regime switching model to describe the domestic and foreign risk-free interest rate and the appreciation rate and the volatility. And the regime switching model is based on a continuous time finite state Ma...

The valuation of currency options by fractional Brownian motion

This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use.

Valuation of Commodity-Based Swing Options

In the energy markets, in particular the electricity and natural gas markets, many contracts incorporate flexibility-of-delivery options, known as “swing” or “take-or-pay” options. Subject to daily as well as periodic constraints, these contracts permit the option holder to repeatedly exercise the right to receive greater or smaller amounts of energy. We extract market information from forward ...

Currency Options for Ukraine

A sound monetary/exchange rate policy is a key ingredient of successful economic development, particularly in the case of the formerly Communist transition economies of Eastern Europe. This paper analyzes monetary/exchange rate policy in Ukraine. It presents the development of such policy throughout the 1990s, and analyzes the present policy regime and its strengths and weaknesses. The paper al...