Pricing Currency Options Under Stochastic Volatility

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Table 2.4 Sample Properties of PHLX Currency Options (Swiss franc)MoneynessDays to Maturity
Table 3. Implied Volatility from the Garman and Kohlhagen (1983) ModelTime to MaturityBritish pound Deutsche mark Japanese yen Swiss francMoneyness
Page 1 and 2: Pricing Currency Options Under Stoc
Page 3 and 4: 1. IntroductionIt has been shown th
Page 5 and 6: varying, and of sufficient magnitud
Page 7 and 8: The remainder of this paper is orga
Page 9 and 10: instantaneous variance Vt () follow
Page 11 and 12: month-end option, which expires at
Page 13 and 14: percentage and 43.9 percent of the
Page 15 and 16: of the risk-neutralized stochastic
Page 17 and 18: contributed to the more resourceful
Page 19 and 20: actual return distribution better t
Page 21 and 22: Footnotes1. Although the SV option
Page 23 and 24: ReferencesArnold (1990), Mathematic
Page 25 and 26: Volatility: An Analytic Approach,
Page 27 and 28: Table 2.1 Sample Properties of PHLX
Page 29: Table 2.3 Sample Properties of PHLX
Page 33 and 34: Table 5. Return and Volatility Proc
Page 35 and 36: Figure 1. Implied Volatility of Gar
Page 37: Figure 2. (continued) Implied Volat

Pricing Currency Options Under Stochastic Volatility

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