AN INTRODUCTION TO CURRENCY OPTION MARKETS

Allan M. Malz
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Allan M. Malz: Markets Group of the Federal Reserve Bank of New York, USA

Chapter 3 in Currency Options and Exchange Rate Economics, 1998, pp 33-46 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionCentralised Exchanges and Over-the-Counter MarketsThe Black–Scholes FunctionsThe Price Quotation Conventions of the Over-the-Counter MarketsThe Volatility Smile: Straddles, Strangles and Risk ReversalsConclusionsReferences

Date: 1998
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