Essays about: "FX Options"
Showing result 1 - 5 of 9 essays containing the words FX Options.
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1. Pricing of FX products - list rates
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : List rates is a product that provides clients with a fixed exchange rate for a fixed period of time, varying from a few minutes up to a few days. During this period, the customer can exercise trading at the fixed exchange rate multiple times. The aim of this study is to find a pricing model for List rates. READ MORE
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2. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
University essay from KTH/Matematisk statistikAbstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE
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3. Anticipated Events’ Impact on FX Options’ Implied Volatility
University essay from Lunds universitet/Matematisk statistikAbstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE
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4. Extracting volatility smiles from historical spot data
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE
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5. Currency Basis Swap Valuation : Theory & Practise
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Banks finance their operations in several ways, by shareholders equity, receiving deposits from customers and by borrowing from investors and other financial institutions. One widely used approach is to issue a bond. Bonds issued on the foreign capital markets is a way to increase the financing options and mitigate risk exposure. READ MORE