PRICING OF FOREIGN CURRENCY OPTIONS IN THE SERBIAN MARKET

Irena Janković

Economic Annals, 2009, vol. 54, issue 180, 91-115

Abstract: The main idea of this paper is to find the most suitable approach to the valuation of foreign currency options in the Serbian financial market. Volatility analysis included the application of the GARCH model which resulted in the marginal volatility measure, which was used in the pricing of basic foreign currency options in the local market. The analysis is completed with an overview of the implementation of FX derivatives in the Serbian financial market.

Keywords: option pricing; stochastic volatility; GARCH model (search for similar items in EconPapers)
JEL-codes: B23 C32 F31 G12 (search for similar items in EconPapers)
Date: 2009
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