The predictive power of implied stochastic variance from currency options
Article Abstract:
Foreign currency options traded on the Philadelphia Stock Exchange from Jan. 1986-Feb. 1993, were examined to determine if implied variances from dollar/mark and dollar/yen currency options can be used to predict further variance. Results show that implied variance can be used to develop the term structure of volatilities and to determine pricing and hedging options. Results also validate the use of stochastic volatility model in evaluating implied variance.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Path-dependent currency options with mean reversion
Article Abstract:
A path-dependent currency option pricing framework where the exchange rate follows a mean-reverting lognormal process is presented. The Laplace transform is used to develop analytical solutions for barrier, lookback, and turbo options.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2008
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