Conference paper
The Major Currency Options Pricing: A Survey of the Theoretical Literature
ECU Business Doctoral and Emerging Scholars Colloquium 2016 (Joondalup, WA, 02/12/2016–02/12/2016)
02/12/2016
Abstract
This study examines the possibility of using widely known implied volatility (IV), realized volatility (RV) and GARCH volatility (GV) as input for Merton (1973) version Black-Scholes (1973) (M-BS) options pricing model. Since the construction method, information obtaining procedure, information containing characteristic and prediction capability of IV, RV, GV are distinct, the purpose of this study is to analyse which volatility information content is appropriate for pricing currency options correctly and which one incorporate relevant market information for the accurate currency options price forecast. The accuracy of options price is crucial for managing financial risk, speculative purposes and preventing the abnormal arbitrage profit.
Details
- Title
- The Major Currency Options Pricing: A Survey of the Theoretical Literature
- Authors/Creators
- Thi N Le - Murdoch University, College of BusinessAriful HoqueDomenico GasbarroKamrul Hassan
- Conference
- ECU Business Doctoral and Emerging Scholars Colloquium 2016 (Joondalup, WA, 02/12/2016–02/12/2016)
- Identifiers
- 991005617670307891
- Murdoch Affiliation
- College of Business
- Language
- English
- Resource Type
- Conference paper
Metrics
91 Record Views