Essays about: "FX-options"
Found 3 essays containing the word FX-options.
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1. 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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2. Local Volatility Calibration on the Foreign Currency Option Market
University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolanAbstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE
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3. Calibration of FX Options and Pricing of Barrier Options
University essay from Lunds universitet/Matematisk statistikAbstract : .... READ MORE