Pricing Foreign Currency and Cross-Currency Options Under GARCH

J.Z. Wei and J.C. Duan

Rotman School of Management - Finance from Rotman School of Management, University of Toronto

Abstract: The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option princing methodology of Duan (1995) to a two-country setting.

Keywords: PRICING; CURRENCIES; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C15 E40 G10 G13 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (13)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:rotfin:99-01

Access Statistics for this paper

More papers in Rotman School of Management - Finance from Rotman School of Management, University of Toronto Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel (krichel@openlib.org).