THE GARMAN AND KOLHAGEN MODEL VERSUS A CURRENCY OPTION PRICING MODEL WITH STOCHASTIC INTEREST RATES AND TRANSACTION COSTS PDF Download
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Author: Mariusz TAMBORSKI
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Mariusz TAMBORSKI
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Mariusz Tamborski
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Mariusz Tamborski
Publisher:
ISBN:
Category : Currency convertibility
Languages : en
Pages : 52
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Book Description
Author: Mariusz Tamborski
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
Author: Zhaohui Chen
Publisher: World Scientific
ISBN: 9789810226190
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Author: Mariusz Tamborski
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Mariusz Tamborski
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 40
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Book Description
Author: Niklas Ekvall
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
Author: Peter Carayannopoulos
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
Author: Carsten Sørensen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The paper presents a modified version of the Garman-Kohlhagen formula for pricing European currency options. The equilibrium approach deviates from the no-arbitrage approach by allowing domestic and foreign interest rates and their dynamics to be determined endogenously in the model. By using the relations between exchange rate dynamics and the dynamics of interest rates, I provide a new characterization of the relevant volatilities for European currency option pricing, which only depends on parameters describing the variability of the log-exchange rate. The implications of the model for the valuation of American currency options and optimal exercise strategies are examined by applying numerical methods.
