Pricing Currency Options Under Stochastic Volatility

More documents

Recommendations

Info

Figure 2. Implied <strong>Volatility</strong> Pattern: Garman-Kohlhagen (G&K) Model versusHeston Model Across MaturityShort-term Maturity< 30 daysMiddle-term Maturity30 ~ 60 daysBritishpoundDeutschemark36
Figure 2. (continued) Implied <strong>Volatility</strong> Pattern: Garman-Kohlhagen (G&K)Model versus Heston Model Across MaturityShort-term Maturity< 30 daysMiddle-term Maturity30 ~ 60 daysJapaneseyenSwissfranc37
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 and 30: Table 2.3 Sample Properties of PHLX
Page 31 and 32: Table 3. Implied Volatility from th
Page 33 and 34: Table 5. Return and Volatility Proc
Page 35: Figure 1. Implied Volatility of Gar

Pricing Currency Options Under Stochastic Volatility

Create successful ePaper yourself

Delete template?

Save as template?