The Information Content in the Offshore Renminbi Foreign-Exchange Option Market: Analytics and Implied USD/CNH Densities

SSRN Electronic Journal ◽

10.2139/ssrn.3062512 ◽

2017 ◽

Author(s):

Michael Funke ◽

Julius Loermann ◽

Andrew Tsang

Keyword(s):

Information Content ◽

Foreign Exchange ◽

Exchange Option ◽

Option Market

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Understanding Foreign Exchange Option Returns: The Information Content of Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2009289 ◽

2012 ◽

Author(s):

Lamya Kermiche ◽

Philippe Dupuy

Keyword(s):

Information Content ◽

Foreign Exchange ◽

Option Returns ◽

Exchange Option

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Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

Asia-Pacific Financial Markets ◽

10.1007/s10690-009-9102-8 ◽

2009 ◽

Vol 17 (2) ◽

pp. 99-111 ◽

Cited By ~ 11

Author(s):

Li Meng ◽

Mei Wang

Keyword(s):

Foreign Exchange ◽

Black Scholes ◽

Exchange Option ◽

Option Market

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The Foreign Exchange Option Market, 1917-1921

SSRN Electronic Journal ◽

10.2139/ssrn.1333442 ◽

2009 ◽

Cited By ~ 2

Author(s):

Scott Mixon

Keyword(s):

Foreign Exchange ◽

Exchange Option ◽

Option Market

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Foreign exchange option symmetry and a coordinate-free description of a multiple currency market in terms of differential geometry on graphs

Nonlinear Analysis ◽

10.1016/s0362-546x(01)00703-9 ◽

2001 ◽

Vol 47 (9) ◽

pp. 5885-5896 ◽

Cited By ~ 1

Author(s):

Valery A. Kholodnyi ◽

John F. Price

Keyword(s):

Differential Geometry ◽

Foreign Exchange ◽

Currency Market ◽

Exchange Option

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Foreign Exchange Option Symmetry

10.1142/3688 ◽

1998 ◽

Cited By ~ 5

Author(s):

Valery A Kholodnyi ◽

John F Price

Keyword(s):

Foreign Exchange ◽

Exchange Option

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Predicting Volatility and the Information Content of Informed Traders in an Option Market

SSRN Electronic Journal ◽

10.2139/ssrn.2647548 ◽

2015 ◽

Author(s):

Teng-Ching Huang ◽

Bing-Huei Lin ◽

Tung-Hsiao Yang

Keyword(s):

Information Content ◽

Informed Traders ◽

Option Market

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PRICING EQUITY-LINKED FOREIGN EXCHANGE OPTION UNDER A REGIME-SWITCHING MULTI-SCALE JUMP-DIFFUSION MODEL

Dynamic Systems and Applications ◽

10.12732/dsa.v27i3.3 ◽

2018 ◽

Vol 27 (1) ◽

Author(s):

MIAO HAN ◽

XUEFENG SONG ◽

WEI WANG

Keyword(s):

Diffusion Model ◽

Foreign Exchange ◽

Regime Switching ◽

Jump Diffusion ◽

Multi Scale ◽

Jump Diffusion Model ◽

Exchange Option

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The delta- and vega-related information content of near-the-money option market trading activity

Journal of Financial Markets ◽

10.1016/j.finmar.2014.01.002 ◽

2014 ◽

Vol 20 ◽

pp. 175-193 ◽

Cited By ~ 10

Author(s):

Thomas Rourke

Keyword(s):

Information Content ◽

Trading Activity ◽

Related Information ◽

Option Market

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High-frequency information content in end-user foreign exchange order flows

European Journal of Finance ◽

10.1080/1351847x.2011.601652 ◽

2012 ◽

Vol 18 (9) ◽

pp. 865-884 ◽

Cited By ~ 4

Author(s):

Ian W. Marsh ◽

Teng Miao

Keyword(s):

Information Content ◽

Foreign Exchange ◽

High Frequency ◽

End User ◽

Frequency Information

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Foreign Exchange Option and Returns Based Correlation Forecasts: Evaluation and Two Applications

SSRN Electronic Journal ◽

10.2139/ssrn.668247 ◽

2005 ◽

Author(s):

Olli Castren ◽

Stefano Mazzotta

Keyword(s):

Foreign Exchange ◽

Exchange Option

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