Download or read book Long Term Foreign Currency Option Pricing written by Amanda Jean Hosken and published by . This book was released on 2003 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Download or read book Currency Options and Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Noise Trading Central Bank Interventions and the Informational Content of Foreign Currency Options written by Christian Pierdzioch and published by Springer Science & Business Media. This book was released on 2001-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book FX Option Performance written by Jessica James and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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?
Download or read book Early Exercise of Foreign Currency Options written by Frank J. Fabozzi and published by . This book was released on 2013 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Roll [JFE 1977] demonstrates that the probability of early exercise of equity call options is low for small dividend payouts. Geske and Shastri [JBF 1985] show that unless dividends are small, put equity options would not be exercised early. Subsequently, Shastri and Tandon [JFM 1986] argue that the probability of early exercise of foreign currency options is small since foreign interest rates are analogous to a continuous dividend payout. Based on this observation, they conclude that a European model is well-suited for pricing American foreign currency options, unless the foreign interest rate is unusually high/low for call/put options. This conclusion is supported by the observation that pricing errors of a European option model are insignificant. Our study compares the Barone-Adesi-Whaley [BA-W; JF 1987] American option-pricing model with the Garman-Kohihagen [JIMF 1983] and Grabbe [JIMF 1983] European model and tests the conditions under which foreign exchange options convey opportunities to profit from premature exercise. Our results demonstrate the following. (1) The BA-W model is only advantageous in pricing out-of-the-money, long-term options. (2) The probability of gainful early exercise of puts is more sensitive than that of calls to the interest rate differential, time to maturity, and volatility. (3) The critical spot rate in the BA-W model is based on the probability of gainful early exercise on a given date, not after that date. Based on this criterion, we find a large number of opportunities for early exercise among in-the-money options maturing in less than 45 days.
Download or read book Using Currency Options More Effectively written by Howard McLean and published by . This book was released on 1991 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foreign Currency Option Pricing and Properties of Ex ante Exchange Rate Variability Changes written by Fatih Akin and published by . This book was released on 1992 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Currency Options Primer written by Shani Shamah and published by John Wiley & Sons. This book was released on 2004-04-21 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A quick and concise guide to currency options An understanding of currency options is essential for those working in investment and foreign exchange. A Currency Options Primer sets out to give readers a clear guide to how the currency option market functions, offering practical advice on mastering the necessary components and concepts for fully understanding the workings of this market.
Download or read book Options on Foreign Exchange written by David F. DeRosa and published by John Wiley & Sons. This book was released on 2000-01-18 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC
Download or read book Currency Option Pricing in Credible Target Zones written by Bernard Dumas and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.
Download or read book The Probability of Early Exercise written by James N. Bodurtha and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Tests of an American Option Pricing Model on the Foreign Currency Options Market written by James N. Bodurtha and published by . This book was released on 1986 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Test of the Validity of Foreign Currency Option Pricing Models written by Vilas Gadkari and published by . This book was released on 1987 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Pricing of Foreign Currency Options written by James N. Bodurtha and published by . This book was released on 1987 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Currency Options written by Alastair Graham and published by Routledge. This book was released on 2014-02-04 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Currency Risk Management series offers readers, researchers, and financial professional a time-tested training tool for understanding and working in the increasingly complex currency markets. This series breaks new ground in simplicity, clarity, and ease of application in risk management practice.
Download or read book Opt Foreign Exc written by Derosa and published by Irwin Professional Publishing. This book was released on 1992-03-22 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known that foreign exchange is the world's largest financial market. What is less well known is that the market for currency options and other derivatives on foreign exchange is also massive and still growing. This book has been written for end users of currency options and newcomers to the field of foreign exchange. It employs the real-world terminology of the foreign exchange market whenever possible so that readers can make a smooth transition from the text to actual market practice. The opening chapters present a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. Next, attention turns to the pervasive Black-Scholes-Merton option pricing model as applied to currency options. An examination of currency futures options follows. The final chapters are devoted to exotic currency options, with special attention given to a variety of barrier currency options. Average rate, compound, basket, and quantos currency options are also covered. Options on Foreign Exchange, Second Edition is written for traders, corporate treasurers, risk managers, and students of financial markets.
