OPTIONS AND THE CURRENCY RISK PREMIUM

Richard K. Lyons
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Richard K. Lyons: Associate Professor at Hass School of Business, University of California, USA

Chapter 6 in Currency Options and Exchange Rate Economics, 1998, pp 94-107 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionRisk Premium Theory and Past Empirical ResultsThe simple efficiency hypothesisA portfolio balance model of the risk premiumThe Option Model and Data UsedThe binomial pricing modelInputs for the valuation modelEmpirical ResultsTest of simple efficiencySimple efficiency: adding some structureTest of the portfolio balance modelA final note regarding sterilised interventionConclusionsData AppendixReferences

Date: 1998
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