What Is a Currency Option?

Wilmott ◽  
2021 ◽  
Vol 2021 (111) ◽  
pp. 14-15
Author(s):  
Uwe Wystup
Keyword(s):  
Currency Option

scholarly journals Modeling Volatility in Foreign Currency Option Pricing

2009 ◽  
Vol 13 (3/4) ◽  
pp. 189-208 ◽  
Author(s):  
Ariful Hoque ◽  
◽  
Felix Chan ◽  
Meher Manzur ◽  
◽  
...  
Keyword(s):  
Option Pricing ◽  
Foreign Currency ◽  
Currency Option ◽  
Modeling Volatility ◽  
Currency Option Pricing

scholarly journals Realignment Risk and Currency Option Pricing in Target Zones

10.3386/w4458 ◽  
1993 ◽  
Author(s):  
Bernard Dumas ◽  
L. Peter Jennergren ◽  
Bertil Naslund
Keyword(s):  
Option Pricing ◽  
Target Zones ◽  
Currency Option ◽  
Currency Option Pricing

EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS

2020 ◽  
pp. 1-19
Author(s):  
Yu Xing ◽  
Yuhua Xu ◽  
Huawei Niu
Keyword(s):  
Implied Volatility ◽  
Option Price ◽  
Closed Form Solution ◽  
Continuous Model ◽  
Form Solution ◽  
Jump Processes ◽  
Currency Options ◽  
Currency Option ◽  
Jump Intensity ◽  
Discontinuous Model

Abstract In this paper, we study the equilibrium valuation for currency options in a setting of the two-country Lucas-type economy. Different from the continuous model in Bakshi and Chen [1], we propose a discontinuous model with jump processes. Empirical findings reveal that the jump components in each country's money supply can be decomposed into the simultaneous co-jump component and the country-specific jump component. Each of the jump components is modeled with a Poisson process whose jump intensity follows a mean reversion stochastic process. By solving a partial integro-differential equation (PIDE), we get a closed-form solution to the PIDE for a European call currency option. The numerical results show that the derived option pricing formula is efficient for practical use. Importantly, we find that the co-jump has a significant impact on option price and implied volatility.

A Numerical Approach to American Currency Option Valuation

2001 ◽  
Vol 9 (2) ◽  
pp. 19-29 ◽  
Author(s):  
Seungmook Choi ◽  
Michael D. Marcozzi
Keyword(s):  
Numerical Approach ◽  
Option Valuation ◽  
Currency Option
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