The Valuation of the American Premium in the Foreign Currency Options Market, Issue 148Center for the Study of Futures Markets, Columbia Business School, Columbia University, 1987 - Currency question - 28 pages |
Common terms and phrases
a₁ American option American put approximate valuation formula approximate valuation model assumption average American premium Black-Scholes British pound call and put CALL OPTIONS Constant Canadian dollar cents comparative statics currency options market current spot price domestic and foreign domestic interest rate empirical error CALL OPTIONS European call European option European put exchange rate follows exercise of calls exercise of puts exercised early foreign bond foreign currency options foreign interest rates geometric Brownian motion holding the foreign increasing function market valuation maturity optimal exercise boundary option prices OPTIONS Constant Approx Options Exchange CBOE options traded P-value OLS GMM partial derivatives percent possibility of early premia Premium R2 Coefficient pricing formula propositions PUT OPTIONS Constant put premium puts and calls R2 Coefficient Estimates reversed for puts sample Slopes=0 P-value OLS spot exchange rate spot rate standard deviation striking price Swiss franc T-Test T-values Slopes=0 P-value Table theoretical various parameters volatility Whaley 28