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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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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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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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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Foreign Exchange Option Pricing

10.1002/9781119208679 ◽

2012 ◽

Cited By ~ 9

Keyword(s):

Option Pricing ◽

Foreign Exchange ◽

Exchange Option

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Introduction to Foreign Exchange Option

Handbook of Finance ◽

10.1002/9780470404324.hof001070 ◽

2008 ◽

Author(s):

Shani Shamah

Keyword(s):

Foreign Exchange ◽

Exchange Option

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Foreign exchange option prices as predictors of equilibrium forward exchange rates

Journal of International Money and Finance ◽

10.1016/0261-5606(87)90003-9 ◽

1987 ◽

Vol 6 (3) ◽

pp. 283-294 ◽

Cited By ~ 2

Author(s):

Alan L. Tucker

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Option Prices ◽

Exchange Option

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Foreign exchange option pricing in the currency cycle with jump risks

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-013-0425-1 ◽

2014 ◽

Vol 44 (4) ◽

pp. 755-789 ◽

Cited By ~ 6

Author(s):

Chien-Hsiu Lin ◽

Shih-Kuei Lin ◽

An-Chi Wu

Keyword(s):

Option Pricing ◽

Foreign Exchange ◽

Jump Risks ◽

Exchange Option

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The Inverse Problem of Foreign Exchange Option Pricing

Applied Mathematics and Computational Intelligence - Advances in Intelligent Systems and Computing ◽

10.1007/978-3-319-75792-6_30 ◽

2018 ◽

pp. 407-426

Author(s):

Baiqing Sun ◽

Nataliya Yi Liu ◽

Junzo Watada

Keyword(s):

Inverse Problem ◽

Option Pricing ◽

Foreign Exchange ◽

Exchange Option

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