General equilibrium pricing of currency and currency options
نویسندگان
چکیده
منابع مشابه
Pricing Foreign Currency and Cross-Currency Options Under GARCH
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...
متن کاملPricing Currency Options Under Stochastic Volatility
This paper investigates the relative pricing performance between constant volatility and stochastic volatility pricing models, based on a comprehensive sample of options on four currencies, including the British pound, Deutsche mark, Japanese yen and Swiss franc, traded frequently in the Philadelphia Stock Exchange (PHLX) from 1994 to 2001. The results show that the model of Heston (1993) outpe...
متن کاملUncertain Currency Model and Currency Option Pricing
Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain process, described by an uncertain differential equation driven by Liu process, and build an uncertain currency model. Then the uncertain currency option processes are discussed. Moreover, European and American currency option pricing formulas ar...
متن کاملAlternative Volatility Models for Pricing European Currency Options
This paper focuses on modeling foreign exchange return behavior that would result in more accurate currency options pricing. These alternative approaches namely, implied volatility model (IVM), realized volatility model (RVM) and GARCH (1,1) volatility model (GVM) are used in this study. The results, in general suggest that RVM outperforms both IVM and GVM in pricing currency options. In-sample...
متن کاملPricing Options on Foreign Currency with a Preset Exchange Rate
This paper presents a new option that can be used by agents for managing foreign exchange risk. Unlike the Garman Kolhagen model [1], (GK), this paper presents a new model with a preset exchange rate (PE), that allows the agent to take advantage of the his/her view on both the direction and magnitude of rate movement and as such provides this agent with more choices. The model has a provision f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2013
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2013.08.006