Essays about: "FX risk"

Showing result 21 - 21 of 21 essays containing the words FX risk.

  1. 21. FX BASKET OPTIONS - Approximation and Smile Prices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Patrik Karlsson; [2009]
    Keywords : hedging; FX; Black-Scholes; Volatility Smile.; Basket Option; Derivative; Local Volatility; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Pricing a Basket option for Foreign Exchange (FX) both with Monte Carlo (MC) techniques and built on different approximation techniques matching the moments of the Basket option. The thesis is built on the assumption that each underlying FX spot can be represented by a geometric Brownian motion (GBM) and thus have log normally distributed FX returns. READ MORE