Download or read book The Valuation of the American Premium in the Foreign Currency Options Market written by Philippe Jorion and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Trading in Currency Options written by W. H. Sutton and published by Prentice Hall. This book was released on 1988 with total page 224 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 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 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 Working Paper Series written by and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book European Put Call Parity and the Early Exercise Premium for American Currency Options written by Geoffrey Poitras and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European put-call parity condition is used to estimate the early exercise premium for American currency options traded on the Philadelphia Stock Exchange. Using a sample of 331 pairs of call and put options with the same exercise price and time to expiration, evidence is provided for early exercise premiums that average 5.03% for put options and 4.60% for call options. The premiums for both call and put options are strongly related to the interest rate differential and time to expiration. These results have implications for the use of European option pricing models in the valuation of American options.
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik I. Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
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 162 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 Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Currency Options Handbook written by William Sutton and published by . This book was released on 1988 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Valuation of American Options on Foreign Currency written by Kuldeep Shastri and published by . This book was released on 1984 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Reserves and Foreign Currency Liquidity written by International Monetary Fund. Statistics Dept. and published by International Monetary Fund. This book was released on 2015-01-07 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.
Download or read book Valuation of Early Exercise Premium on Currency Options written by John Lee and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies on American options have shown that European style models do not reflect early exercise premium (EEP). This project expands on the Poitras, Veld and Zabolotnyuk (2006) paper which applies the put-call parity method to currency options data from American options traded at PHLX for EEP. We define a wider range for in-the moneyness and use a rolling volatility for the volatility parameter. We estimate the early exercise premium as a percentage of option price (REEP) for calls and puts to be 7.329%, 6.122%, respectively. We then regress the REEP against moneyness, interest differentials, and time to maturity and volatility. Our results show that REEP is strongly and positively correlated with interest rate differentials and time to maturity. The effect of moneyness is less apparent. The effect of volatility on REEPs of put options is significantly negative, which coincides with the results of Poitras, Veld and Zabolotnyuk (2006).
Download or read book Managing Foreign Exchange Risk written by David F. DeRosa and published by Irwin Professional Publishing. This book was released on 1991 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
