Foreign Currency Mortgages Recast as Options on Commodity Futures
نویسندگان
چکیده
منابع مشابه
Foreign Currency Futures
The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...
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The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...
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ژورنال
عنوان ژورنال: Theoretical Economics Letters
سال: 2019
ISSN: 2162-2078,2162-2086
DOI: 10.4236/tel.2019.97145