Pricing Foreign Currency and Cross-Currency Options Under GARCH
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...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 1999
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.1999.319110