Relevant bibliographies by topics / Foreign exchange options

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Foreign exchange options'

Author: Grafiati
Published: 4 June 2021
Last updated: 2 March 2023

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Journal articles on the topic "Foreign exchange options"

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Borensztein, Eduardo R., and Michael P. Dooley. "Options on Foreign Exchange and Exchange Rate Expectations." Staff Papers - International Monetary Fund 34, no. 4 (December 1987): 643. http://dx.doi.org/10.2307/3867193.

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PELLEGRINO, TOMMASO. "SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050021. http://dx.doi.org/10.1142/s0219024920500211.

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We consider models for the pricing of foreign exchange derivatives, where the underlying asset volatility as well as the one for the foreign exchange rate are stochastic. Under this framework, singular perturbation methods have been used to derive first-order approximations for European option prices. In this paper, based on a previous result for the calibration and pricing of single underlying options, we derive the second-order approximation pricing formula in the two-dimensional case and we apply it to the pricing of foreign exchange options.
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Brenner, Menachem, Young Ho Eom, and Yoram Landskroner. "Implied foreign exchange rates using options prices." International Review of Financial Analysis 5, no. 3 (1996): 171–83. http://dx.doi.org/10.1016/s1057-5219(96)90012-5.

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Berg, Menachem, and Giora Moore. "Foreign Exchange Strategies: Spot, Forward and Options." Journal of Business Finance & Accounting 18, no. 3 (April 1991): 449–57. http://dx.doi.org/10.1111/j.1468-5957.1991.tb00606.x.

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Liu, Qinyu, Ting Jin, Min Zhu, Chenlei Tian, Fuzhen Li, and Depeng Jiang. "Uncertain Currency Option Pricing Based on the Fractional Differential Equation in the Caputo Sense." Fractal and Fractional 6, no. 8 (July 24, 2022): 407. http://dx.doi.org/10.3390/fractalfract6080407.

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The foreign exchange market comprises the largest global volume, so the pricing of foreign exchange options has always been a hot issue in the foreign exchange market. This paper treats the exchange rate as an uncertain process that is described by an uncertain fractional differential equation, and establishes a new uncertain fractional currency model. The uncertain process is driven by Liu process, and, with the application of the Mittag-Leffler function, the solution of the fractional differential equation in a Caputo sense is presented. Then, according to the uncertain fractional currency model, the pricing formulas of European and American currency options are given. Lastly, the two numerical examples of European and American currency options are given; the price of the currency option increased when p changed from 1.0 to 1.1, and prices with different p were all decreasing functions of exercise price K.
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Kung, James J. "A Continuous-Time Model for Valuing Foreign Exchange Options." Abstract and Applied Analysis 2013 (2013): 1–10. http://dx.doi.org/10.1155/2013/635746.

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This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30.
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Ahlip, Rehez, Laurence A. F. Park, and Ante Prodan. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model." International Journal of Financial Engineering 04, no. 01 (March 2017): 1750013. http://dx.doi.org/10.1142/s242478631750013x.

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We examine currency options in the double exponential jump-diffusion version of the Heston stochastic volatility model for the exchange rate. We assume, in addition, that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semi-analytical formula for the price of the European currency call option in the hybrid foreign exchange/interest rates model.
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CHARLEBOIS, MAXIME, and STEPHEN SAPP. "Temporal Patterns in Foreign Exchange Returns and Options." Journal of Money, Credit and Banking 39, no. 2-3 (March 2007): 443–70. http://dx.doi.org/10.1111/j.0022-2879.2007.00032.x.

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Ahlip, Rehez, and Ante Prodan. "Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes." International Journal of Stochastic Analysis 2015 (July 26, 2015): 1–15. http://dx.doi.org/10.1155/2015/258217.

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We examine foreign exchange options in the jump-diffusion version of the Heston stochastic volatility model for the exchange rate with log-normal jump amplitudes and the volatility model with log-uniformly distributed jump amplitudes. We assume that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semianalytical formula for the price of the foreign exchange European call option.
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Hoque, Ariful, Thi Ngoc Quynh Le, and Kamrul Hassan. "Does currency smirk predict foreign exchange return?" Investment Management and Financial Innovations 17, no. 3 (September 23, 2020): 219–30. http://dx.doi.org/10.21511/imfi.17(3).2020.17.

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This study examines the predictive power of implied volatility smirk to forecast foreign exchange (FX) return. The volatility smirk contains critical information, especially when the market experiences negative news. The Australian dollar, Canadian dollar, Swiss franc, Euro, and British pound options traded in the opening, midday and closing periods of the trading day are selected to estimate the currency smirk. Research results reveal that the currency smirk outperforms in forecasting FX returns. In addition, the steeper slope in the middle of the trading day suggests that the predictive power of currency smirk in the midday period is higher compared to the opening and closing periods. However, currency smirks’ predictability lasts for a short period, as the FX market is highly adept at incorporating the vital information embedded in the currency smirk. These findings imply that the currency smirk is distinctive for forecasting very short-term FX fluctuations, and the day- or overnight FX traders can use its uniqueness to profit from quick price swings in the 24-hour global FX market.
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Dissertations / Theses on the topic "Foreign exchange options"

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Javaheri, Alireza. "Pricing of call options on foreign exchange." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/35975.

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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.
Includes bibliographical references (leaves [1]-2).
by Alireza Javaheri.
M.S.
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Sicuaio, Tomé Eduardo. "Knock Out Power Options in Foreign Exchange Markets." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-223996.

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Mertlík, Jakub. "Valuation and Hedging of Foreign Exchange Barrier Options." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-77859.

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The main aim of this thesis is in analyzing and empirically testing the various valuation models and hedging schemes of foreign exchange barrier options and their robustness with respect to changing of market conditions. The purpose of the main empirical section is to get a detailed understanding of the static and dynamic performance of the analyzed models for the barrier options payoff mainly in the extreme market conditions, where we performed a benchmarking of the various hedging schemes. As a by-product, we analyzed the accomplishment of some of the model assumptions in real world setting, and the model dependency of the barrier options.
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Ren, Peter. "An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc801929/.

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This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.
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Spitz, David Evan. "Optimization models for foreign exchange rate hedging using currency options." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/33479.

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Yan, Bingcheng. "Cross-market interactions, price discovery dynamics, and market quality measurement /." Thesis, Connect to this title online; UW restricted, 2005. http://hdl.handle.net/1773/7375.

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Tjirongo, Meshack Tunee. "Exchange rate policy options for Namibia." Thesis, University of Oxford, 1998. http://ora.ox.ac.uk/objects/uuid:fdb75211-db30-4393-a6f7-61d46ff4b9b7.

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The thesis assesses the costs and benefits of Namibia's membership of the CMA to determine whether the CMA is an optimal currency area at least from the perspective of Namibia. This issue is examined from two main perspectives: (a) whether real exchange rate (RER) adjustment is frustrated by the inability to use the nominal exchange rate as an instrument of adjustment. Evidence of persistent RER misalignment may be seen as a necessary condition for an independent nominal exchange rate regime, however, it is not sufficient.(b) In this case, we examine whether nominal devaluations will have sustained effects on RER adjustment, given Namibia's structural features, such as the high degree of openness and a small nontradable sector. An equilibrium RER for Namibia is estimated using a single equation model of RER determination. The model is used to compute RER misalignments to determine whether there are sustained long periods of misalignments. To test whether nominal exchange rates can be effective in changing relative prices, a simple model was developed to measure pass-through of foreign price and exchange rate changes to domestic prices and wages. This provides useful information regarding whether nominal devaluations can be sustained. The results show that RER misalignments have been small, while the extent and speed of pass-through is complete and instantaneous for most items, suggesting that nominal devaluations in Namibia are not likely to have real effects. Even if it was the case that monetary autonomy cannot be supported on grounds of affecting relative prices, it may nevertheless be important for Namibia to pursue an independent exchange rate strategy. To examine this possibility, the analysis was extended by looking at costs and benefits of OCAs which do not rely on the ability to change relative prices. Benefits arising from savings on transactions costs and on foreign exchange reserves amounted to 3.8% and 2.4% of GDP, respectively. Further, we demonstrated that past "shocks" between Namibia and South Africa were highly correlated. The findings of the thesis suggest that the CMA is an optimal exchange regime for Namibia.
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Steil, Benn Lawrence. "The use of currency options in hedging foreign exchange exposure risk." Thesis, University of Oxford, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.316827.

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Reyes, Cecilia Gonzales. "Statistical properties of daily returns on foreign exchange rates and a test of the Black-Scholes paradigm on foreign exchange options." Thesis, London Business School (University of London), 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296920.

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Yan, Chi-kwan, and 顔志軍. "The hedging role of options and futures with mismatched currencies." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954728.

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Books on the topic "Foreign exchange options"

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DeRosa, David F. Options on Foreign Exchange. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266953.

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DeRosa, David F. Options on foreign exchange. 3rd ed. Hoboken, N.J: Wiley, 2011.

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Options on foreign exchange. Chicago: Probus Pub. Co., 1992.

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F, Price John, ed. Foreign exchange option symmetry. Singapore: World Scientific, 1998.

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Castagna, Antonio. FX options and smile risk. Hoboken, N.J: Wiley, 2009.

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FX options and smile risk. Hoboken, N.J: Wiley, 2009.

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Clark, Iain J. Foreign exchange option pricing: A practitioner's guide. Hoboken, N.J: John Wiley, 2011.

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United Nations. Economic and Social Commission for Asia and the Pacific, ed. Options for exchange rate policy. New York: United Nations, 2000.

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Harris, Richard G. Globalization and Canada's exchange rate options. [Saskatoon, Sask: University of Saskatchewan, 2002.

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Foreign exchange options: An international guide to options trading and practice. Cambridge, England: Woodhead Pub., 1993.

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Book chapters on the topic "Foreign exchange options"

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Iqbal, Adam S. "FX Volatility and FX Options." In Foreign Exchange, 97–127. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-93555-9_4.

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Anthony, Steve. "Currency Options — Pricing." In Foreign Exchange in Practice, 181–221. London: Palgrave Macmillan UK, 2003. http://dx.doi.org/10.1057/9781403914552_10.

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Anthony, Steve. "Applications of Currency Options." In Foreign Exchange in Practice, 222–47. London: Palgrave Macmillan UK, 2003. http://dx.doi.org/10.1057/9781403914552_11.

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Wang, Peijie. "Currency Options." In The Economics of Foreign Exchange and Global Finance, 1–43. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-00100-0_13.

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Jacque, Laurent L. "Currency Futures, Options, Derivatives, and Swaps." In Management and Control of Foreign Exchange Risk, 73–106. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1806-1_3.

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"Foreign Exchange Options." In Foreign Exchange, 153–203. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201601.ch9.

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"Exotic Options and Structured Products." In Foreign Exchange, 205–18. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201601.ch10.

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"Foreign Exchange Options." In A Foreign Exchange Primer, 99–116. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119207092.ch14.

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"Foreign Exchange Options." In FX Options and Structured Products, 1–137. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673355.ch1.

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"Foreign Exchange Options." In Chinese Yuan (Renminbi) Derivative Products, 145–56. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812565839_0011.

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Conference papers on the topic "Foreign exchange options"

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Condruzbacescu, Monica. "LEARNING FOREIGN LANGUAGES BY USING E-LEARNING PLATFORMS." In eLSE 2013. Carol I National Defence University Publishing House, 2013. http://dx.doi.org/10.12753/2066-026x-13-097.

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The article deals with the idea of using e-learning platforms in order to acquire foreign languages. Computer assisted language learning is often considered a teaching method. Nowadays, teachers look for new ways to better develop students communication competencies. E-learning platforms represent the most important tools in language learning. Using the Internet in education, along with other additional tools, promotes access to real-time information exchange and international cooperation and offer new opportunities for learning - teaching. Furthermore, the article gives some examples of e-learning platforms and also emphasizes the advantages of using them. E-learning is addressed to all those who want to learn, regardless of age or training. It is thus an option of lifelong learning in the information society. Learning methods based on e-learning manage to adapt the educational process to the real needs of students and offer access to relevant and updated information. The main benefits of e-learning platforms are considered to be: individual skill development and team work, development of analysis skills and synthesis of information and the ability to put into practice the theoretical knowledge learned in school. I tend to believe that e-learning represents a new revolution in education and the current role of the teacher becomes obsolete. Experts believe that e-learning fully meet market and modern society demands and help create more economic and social opportunities. Globally speaking e-learning plays an increasingly important role in education and the effects of introducing new technologies in schools bring major effects, helping to develop the whole society. Students are free to enroll in a course or another, and are free to leave the course if it is ineffective. In conclusion, computers will never replace teachers, but teachers who use computers will replace those who do not use them.
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Ekeinde, Evelyn Bose, Adewale Dosunmu, Diepiriye Chenaboso Okujagu, and Josephine Omolola Ugherughe. "Imperatives of Modular Refineries and their Impact on Product Availability in Nigeria." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2022. http://dx.doi.org/10.2118/211932-ms.

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Abstract Nigeria is richly blessed with crude oil, with a proven reserve of 37billion barrels. Despite the abundance of this "black gold", Nigeria has over the years lacked the capacity to meet the country's demand for petroleum products locally and has resorted to the importation of petroleum products. This is largely due to the fact that the four state-owned conventional refineries, with a combined refining capacity of 445,000 bpd have been operating below optimal conditions, with a combined capacity utilization of 17% in 10years, from 2009 to 2018. Though establishing conventional refineries is highly capital intensive and significantly takes a long time to build and commission, the modular refinery option is however a less capital intensive alternative. This paper discusses the vital roles or importance of modular refineries as well as how it impacts on the availability of petroleum products in the Nigeria. It was discovered that Nigeria has lots of benefits to reap from exploiting modular refinery initiative, amongst which are eliminating fuel shortages and deficits, job creation, overall improvement of the economy and GDP growth, conservation of foreign exchange, among others. It was concluded that the right policy drive to encourage investors to dive into this initiative be put in place to enable Nigeria transit into an exporter of petroleum products.
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Koplik, Alexander Sergeevich, Semen Sergeevich Kudrya, Denis Alekseevich Zolnikov, Rustam Albertovich Koltsov, and Alexey Vasilievich Kovalevskiy. "Experience in Low Viscosity Guar-Free Fracturing Fluid Under Samotlor Field Conditions." In SPE Russian Petroleum Technology Conference. SPE, 2021. http://dx.doi.org/10.2118/206653-ms.

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Abstract Executive Summary The recently developed Samotlor 2020 campaign includes a requirement to shift the Frac design to synthetic gelling agent (gellant) which would increase production, keep the reservoir clean and also reduce both capital and operational costs for each stage Frac stage (no need to heat up the water, an option to use the well water, no requirement to miniFrac performance, etc.). The key difference between guar-based gels and synthetic gels is a lower viscosity rating that results in a significant increase in the fracture length and an improved ability to transport high concentration of proppant due to its thixotropic properties (the ability of a substance to lower its viscosity as a result of a mechanical impact and grow its viscosity when still). When gel is destroyed throughout the fracture after the Frac is completed the synthetic option allows for a cleaner fracture and helps remove all residual matter from the fracture. Another important consideration is that guar shipments from India make Russian oil vulnerable to price, foreign exchange and availability fluctuations. If guar crops experience a bad year or Indian farmers determine that the market should be refocused on cotton or other areas (i.e. not guar), the guar prices in Russian would likely skyrocket. The authors worked as a team to come up with a list of clear recommendations to develop both new and existing wells for Lower Cretaceous collectors of the Vartovsk and Megion suites such as AV1 (1-2) and BV8(0) to increase production and reduce capital costs. We have determined that Frac fluids based on synthetic modified polyacrylamide start to come to the front and hold a leading position in the area of production stimulation as previously happened to other effective methods such as polymer water flooding, drilling and cementing applications.
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Reports on the topic "Foreign exchange options"

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Campa, Jose, and P. H. Kevin Chang. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. Cambridge, MA: National Bureau of Economic Research, March 1997. http://dx.doi.org/10.3386/w5974.

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Pinzón-Puerto, Freddy, and Mauricio Villamizar-Villegas. Do Actions Speak Louder than Words? A Foreign Exchange Intervention Analysis. Banco de la República Colombia, January 2023. http://dx.doi.org/10.32468/be.1223.

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We revisit an old question but with a new identification strategy, namely the difference in exchange rate effects between announced (“vocal”) and secret (“dirty”) foreign exchange intervention. Using a Regression Discontinuity Design, we exploit a rule-based intervention mechanism enacted by the Central Bank of Colombia that, under observable and deterministic conditions, triggered either the issuance of FX options or the ability to exercise them. We take the former (issuance) as central bank announcements under a sharp setting, since the rule and information that triggered the issuance of options was public, and we take the latter (exercise) as secret trades under a fuzzy setting, since traders could have chosen (but were not required) to exercise their options in the following days after issuance. Our results indicate that, unconditionally, both announcements and secret trades carry similar effects. However, the effects of announcements are considerably amplified conditional on: (i) higher central bank credibility, (ii) less frequent announcements, and (iii) episodes of higher FX volatility.
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