Sökning: "FX-options"

Hittade 3 uppsatser innehållade ordet FX-options.

  1. 1. Anticipated Events’ Impact on FX Options’ Implied Volatility

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Frej Håkansson; Björn Nilsson; [2018]
    Nyckelord :Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

    Sammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER

  3. 2. Local Volatility Calibration on the Foreign Currency Option Market

    Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Författare :Markus Falck; [2014]
    Nyckelord :FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Sammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER

  4. 3. Calibration of FX Options and Pricing of Barrier Options

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Anders Persson; [2013]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : .... LÄS MER