Modeling volatility in foreign currency option pricing
Article
Article Title | Modeling volatility in foreign currency option pricing |
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ERA Journal ID | 19586 |
Article Category | Article |
Authors | Hoque, Ariful (Author), Chan, Felix (Author) and Manzur, Meher (Author) |
Journal Title | Multinational Finance Journal |
Journal Citation | 13 (1/2), pp. 181-200 |
Number of Pages | 20 |
Year | 2009 |
Place of Publication | Audubon, NJ, United States |
ISSN | 1096-1879 |
Abstract | [Abstract]: This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major currencies, including Euro. The forecast performance of this framework is compared with those of the Multiplicative Error Model (MEM) of implied volatility and the GARCH(1,1). |
Keywords | foreign currency options, implied volatility, optimal volatility,multiplicative error model, GARCH model |
ANZSRC Field of Research 2020 | 350202. Finance |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | Curtin University of Technology |
https://research.usq.edu.au/item/9z46z/modeling-volatility-in-foreign-currency-option-pricing
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