Currency Options and Exchange Rate Economics

Edited by Zhaohui Chen

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.

Date: 1998
ISBN: 9789810226190
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https://www.worldscientific.com/worldscibooks/10.1142/3061 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 LEARNING FROM CURRENCY OPTION MARKETS: AN OVERVIEW , pp 3-6

Zhaohui Chen

Ch 2 AN INTRODUCTION TO OPTION PRICING THEORY , pp 7-32

Peter G. Zhang

Ch 3 AN INTRODUCTION TO CURRENCY OPTION MARKETS , pp 33-46

Allan M. Malz

Ch 4 THE IMPLIED VOLATILITY IN PRICES OF FOREIGN CURRENCY OPTIONS , pp 49-72

Louis O. Scott

Ch 5 LEARNING FROM THE TERM STRUCTURE OF IMPLIED VOLATILITY IN FOREIGN EXCHANGE OPTIONS , pp 73-93

Jose Campa and P. H. Kevin Chang

Ch 6 OPTIONS AND THE CURRENCY RISK PREMIUM , pp 94-107

Richard K. Lyons

Ch 7 OPTION PRICES AND THE PROBABILITY DISTRIBUTION OF EXCHANGE RATES , pp 108-137

Allan M. Malz

Ch 8 THE ERM REALIGNMENT PROBABILITIES: ESTIMATES USING OPTION PRICES , pp 138-156

Allan M. Malz

Ch 9 OPTIONS ON EXCHANGE RATES IN TARGET ZONES , pp 157-182

Jose Campa and P. H. Kevin Chang

Ch 10 INFERRING MARKET EXPECTATIONS USING CURRENCY OPTION PRICE AND VOLUME DATA , pp 183-196

Zhaohui Chen and Charles A. E. Goodhart

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