Relevant bibliographies by topics / Garman-Kohlhagen model

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  2. Dissertations / Theses
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Academic literature on the topic 'Garman-Kohlhagen model'

Author: Grafiati
Published: 24 April 2022

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Journal articles on the topic "Garman-Kohlhagen model"

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Santana, Rafael Machado, and Rodrigo De Losso da Silveira Bueno. "SWARCH e Volatilidade Implícita no Câmbio do Real/USD." Brazilian Review of Finance 6, no. 2 (October 11, 2008): 235. http://dx.doi.org/10.12660/rbfin.v6n2.2008.1305.

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This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The first is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garman e Kohlhagen (1983) option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: first because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.
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Bharadia, M. A. J., N. Christofides, and G. R. Salkin. "A Quadratic Method for the Calculation of Implied Volatility Using the Garman–Kohlhagen Model." Financial Analysts Journal 52, no. 2 (March 1996): 61–64. http://dx.doi.org/10.2469/faj.v52.n2.1981.

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Kung, James J. "A Continuous-Time Model for Valuing Foreign Exchange Options." Abstract and Applied Analysis 2013 (2013): 1–10. http://dx.doi.org/10.1155/2013/635746.

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This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30.
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Ekvall, Niklas, L. Peter Jennergren, and Bertil Näslund. "Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model." European Journal of Operational Research 100, no. 1 (July 1997): 41–59. http://dx.doi.org/10.1016/s0377-2217(95)00366-5.

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Costa, Marcelo Nóbrega da, and Joe Akira Yoshino. "Calibração do modelo de Heston para o mercado brasileiro de opções de câmbio (FX)." Brazilian Review of Finance 2, no. 1 (January 1, 2004): 23. http://dx.doi.org/10.12660/rbfin.v2n1.2004.1134.

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Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976) or Garman and Kohlhagen (1983). This widespread practice hides very important quantitative effects that could be better explored by using alternative pricing models such as the one that incorporates the stochastic volatility features. Understanding and calibrating this type of pricing model represents a challenge in the current state of art in financial engineering, specially in emerging markets that are characterized by strong volatilities, periodic changing regimes and in most case suffering of liquidity, specially during the crisis. In this sense, this paper shows how to implement the Hestons Model for the Brazilian FX option market. This approach uses the volatility matrix provided by a pool of domestic market players. Although the Hestons Model presents a formal analytical solution it does not require simulation-, the closed form solutions show a mathematical complexity. Thus, the main objective of this work is to implement this model in the Brazilian FX market.
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Abedi, Mohammad, and Daniel Bartolomeo. "Entropic Dynamics of Exchange Rates and Options." Entropy 21, no. 6 (June 13, 2019): 586. http://dx.doi.org/10.3390/e21060586.

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An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. Entropic Dynamics is an application of entropic inference, which is equipped with the entropic notion of time to model dynamics. The scale invariance is a symmetry of the dynamics of exchange rates, which is manifested in our formalism. To make the formalism manifestly invariant under this symmetry, we arrive at choosing the logarithm of the exchange rate as the proper variable to model. By taking into account the relevant information about the exchange rates, we derive the Geometric Brownian Motion, GBM, of the exchange rate, which is manifestly invariant under the scale transformation. Securities should be valued such that there is no arbitrage opportunity. To this end, we derive a risk-neutral measure to value European Options on FX. The resulting model is the celebrated Garman–Kohlhagen model.
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Dissertations / Theses on the topic "Garman-Kohlhagen model"

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Krishnaswamy, Roopa. "The Garman Kohlhagen Model for Foreign Exchange Option Pricing: Derivation and Application." Thesis, The University of Arizona, 2014. http://hdl.handle.net/10150/321771.

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Unver, Ibrahim Emre. "Pricing And Hedging A Participating Forward Contract." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615532/index.pdf.

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We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward contract on the US dollar that is written by a Turkish Bank. The algorithm is computed using actual market data and a weekly updated hedge is computed. We note that despite a weekly update and many assumptions made on the volatility and the interest rates the model gives a very reasonable hedge.
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Tomovič, Tomáš. "Menové opcie." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4931.

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Subject of the submitted thesis is the issue of currency options. The aim is the detailed analysis of currency options forcefully on dealing, characteristics, methods of pricing and their use for hedging strategies. The first part of the thesis presents an introduction into the option theory. The second part is about dealing, pricing and arbitrage relationships of currency options. In this part are two option pricing model extracted -- the binomial options pricing model for pricing currency options and the Garman-Kohlhagen model for pricing European currency options. In the third part is an example for a currency put option hedging strategy.
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Book chapters on the topic "Garman-Kohlhagen model"

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Duong, Thanh, Quyen Ho, An Tran, and Minh Tran. "Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk." In Advances in Intelligent Systems and Computing, 377–88. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-18167-7_33.

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