The Informational Content of the Implied Volatility of Foreign Currency Options PDF Download
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Author: John Leo Saranchuk
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 144
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Book Description
Author: John Leo Saranchuk
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 144
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Book Description
Author: Christian Pierdzioch
Publisher: Springer Science & Business Media
ISBN: 9783540427452
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Author: Niall Coffey
Publisher:
ISBN:
Category : Foreign exchange options
Languages : en
Pages : 0
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Book Description
Author: 陳雅芝
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Jorge A. Chan-Lau
Publisher:
ISBN:
Category : Currency question
Languages : en
Pages : 34
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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: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118793277
Category : Business & Economics
Languages : en
Pages : 264
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Book Description
Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?
Author: Philip Moldenhauer
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper explores the predictive power of the lagged implied volatility on currency exchange rate returns. The study focuses on four major currencies (CHF, EUR, GBP, and JPY) with respect to USD. Applying a panel regression model using daily data over the time span from 2006 to 2016, the study finds a positive and highly significant relationship between the implied volatility and the currency excess return. The effect remains highly significant even after controlling for several other effects (e.g. yield curve parameters, and momentum effect). Furthermore, the study features several robustness checks, to verify the result. A rolling window approach shows, that the factor loading vary for the different currency pairs and change considerably over time.
Author: Steven A. Weinberg
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 52
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Book Description
Author: Parvez Ahmed
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 194
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Book Description
