Sökning: "foreign currency option"

Hittade 5 uppsatser innehållade orden foreign currency option.

  1. 1. Climbing Through the State: Social Empowerment and Contentious Actions in the Jordanian Outdoors

    Master-uppsats, Lunds universitet/Centrum för Mellanösternstudier

    Författare :Hugo Pedrosa Latorre; [2016]
    Nyckelord :Jordan; tourism; adventure; outdoors; collective identity; alternative resistance; social empowerment; Social Sciences;

    Sammanfattning : Tourism has been a fief industry for state power in Jordan, used as state-building tool and hard-currency earner. However, the country’s socio-economic structure and the current regional conflicts have hindered its development as the expected economic engine to achieve Jordan’s independence from foreign aid. LÄS MER

  3. 2. The smile of currency derivatives – PCA modelling of the FX effect

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Nielsen; [2016]
    Nyckelord :foreign exchange; option; risk management; implied volatility; volatility smile; principal components; Business and Economics;

    Sammanfattning : This paper investigates the non-flat volatility surface of foreign exchange options, a so-called volatility smile. Foreign exchange options are especially interesting due their liquidity and frequency in risk management. To propose a non-complex model of the determinants of variation in the smile, a principal component approach is suggested. LÄS MER

  4. 3. 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

  5. 4. Simple foreign currency option Hedge strategies A comparison of Option contracts versus Forward contracts

    Kandidat-uppsats, Akademin för hållbar samhälls- och teknikutveckling

    Författare :Alireza Arabi; Maziar Saei; [2010]
    Nyckelord :Currency options; forward exchange rate; option hedging strategies;

    Sammanfattning : The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not. .. LÄS MER

  7. 5. Exchange rate risk in Automobile Industry: An Empirical Study on Swedish, French and German Multinational Companies.

    Magister-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Lyna Alami Barumwete; Feiyi Rao; [2008]
    Nyckelord :Exchange rate risk; Hedging strategies; Risk management; Foreign Exchange exposure;

    Sammanfattning : Recently, both company executives as well as national media have claimed that short currency exchange rate fluctuations are negatively affecting the stock returns of certain firms. However, most previous studies focusing on companies in the US and Asia have been unable to find empirical support for a statistically significant linkage between firm value and exchange rate risk. LÄS MER