CNY Nondeliverable Options

Peter G. Zhang
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Peter G. Zhang: Shanghai Futures Exchange, China

Chapter 21 in Chinese Yuan (Renminbi) Derivative Products, 2004, pp 293-316 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Brief Introduction to CNY NDO MarketCNY NDO Contract SpecificationsNotional AmountsSettlement MethodExercise StyleSettlement RatesTenorsHistorical and Implied Volatilities of CNY OptionsHistorical EstimationImplied VolatilitiesVolatility SmileTerm Structure of Implied VolatilitiesUsing Implied Volatilities and Historical Volatilities TogetherFactors Affecting Implied Volatilities of CNY OptionsImplied Volatilities and NDFsCommon Factors Affecting Both MarketsCorrelation Coefficient as a Measure of General Market SentimentPricing CNY OptionsCNY Option SpreadsCNY Bullish SpreadsCNY Call SpreadsCNY Put SpreadsCNY and HKD Put SpreadHKD as a Proxy of the CNYVolatilities of the HKDHKD Put OptionsPut Spread of CNY and HKDOther Popular Trading StrategiesTime SpreadOther Popular Options Trading StrategiesOptions on CNY NDFs or CNY NDFOsFutures Options and Forward OptionsHistorical Volatilities of CNY NDFsPricing CNY NDFOsPut–Call ParityCNY Bullish SpreadsSynthetic CNY NDFsRisk Reversals Widening with Spot NDFsSummary

Keywords: Chinese Yuan; CNY Revaluation; Non-Deliverable Forwards; CNY Forwards; CNY Non-Deliverable Options; CNY Non-Deliverable Swaps; CNY Structured Notes (search for similar items in EconPapers)
Date: 2004
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