Noise traders' trigger rates, FX options, and smiles:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Kiel
Inst. of World Economics
2000
|
| Series: | Kieler Arbeitspapiere
970 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 53 S. graph. Darst. |
Staff View
MARC
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Table of Contents
1 Introduction.... 1
2 Implicit Price Barriers, Exchange Rate Dynamics, and Smiles 3
2.1 Implicit Price Barriers and Exchange Rate Dynamics 8
2.2 The Foreign Currency Option Valuation Framework 14
2.3 Implicit Price Barriers and the Volatility Strike Structure 19
3 Implicit Trigger Prices and Exchange Rate Dynamics: Volatility Based
Empirical Evidence 27
3.1 Identification of Potential Trading Triggers in FX Markets 29
3.2 Modeling the Link Between Trading Triggers and Exchange Rate
Volatility 31
3.3 Exchange Rate Data 35
3.4 Conditional Exchange Rate Volatility and the Barriers Hypothesis 38
4 Summary 45
5 References 48
|
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| series | Kieler Arbeitspapiere |
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| spelling | Pierdzioch, Christian Verfasser aut Noise traders' trigger rates, FX options, and smiles by Christian Pierdzioch Kiel Inst. of World Economics 2000 53 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Kieler Arbeitspapiere 970 Kieler Arbeitspapiere 970 (DE-604)BV000000922 970 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008964557&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pierdzioch, Christian Noise traders' trigger rates, FX options, and smiles Kieler Arbeitspapiere |
| title | Noise traders' trigger rates, FX options, and smiles |
| title_auth | Noise traders' trigger rates, FX options, and smiles |
| title_exact_search | Noise traders' trigger rates, FX options, and smiles |
| title_full | Noise traders' trigger rates, FX options, and smiles by Christian Pierdzioch |
| title_fullStr | Noise traders' trigger rates, FX options, and smiles by Christian Pierdzioch |
| title_full_unstemmed | Noise traders' trigger rates, FX options, and smiles by Christian Pierdzioch |
| title_short | Noise traders' trigger rates, FX options, and smiles |
| title_sort | noise traders trigger rates fx options and smiles |
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