Noise trading, central bank interventions, and the informational content of foreign currency options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | German |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2001
|
| Schriftenreihe: | Kieler Studien
313 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 207 S. graph. Darst. |
| ISBN: | 3540427457 |
Internformat
MARC
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| 245 | 1 | 0 | |a Noise trading, central bank interventions, and the informational content of foreign currency options |c Christian Pierdzioch |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2001 | |
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Datensatz im Suchindex
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| adam_text | Contents
1 The Setting 1
2 The Valuation of Foreign Currency Options and Exchange Rate
Dynamics 7
2.1 The First Generation FX Option Pricing Model 8
2.1.1 The Basic Model for European Options on Foreign
Currency 8
2.1.2 Option Sensitivities 11
2.1.3 Extension to American Options 14
2.2 Risk Neutral Valuation 19
2.3 Models with a Variable Diffusion Term 23
2.3.1 Constant Elasticity of Variance Models 24
2.3.2 Stochastic Volatility Models 27
2.4 Models Featuring Discontinuous Exchange Rate Paths 38
2.5 Summary 43
3 Noise Trader Trigger Rates, FX Options, and Smiles 46
3.1 Implicit Price Barriers, Exchange Rate Dynamics, and Smiles 50
3.1.1 Implicit Price Barriers and Exchange Rate Dynamics 57
3.1.2 The Foreign Currency Option Valuation Model 67
3.1.3 Implicit Trading Regimes and the Volatility Strike
Structure 72
3.2 Implicit Trading Triggers and Exchange Rate Volatility: The
Traditional View 81
3.2.1 Identification of Potential Trading Triggers in FX
Markets 83
3.2.2 Modeling the Link between Trading Triggers and
Exchange Rate Volatility 85
3.2.3 Exchange Rate Data 89
3.2.4 Conditional Exchange Rate Volatility and the Barriers
Hypothesis 91
VI Contents
3.3 Technical FX Trading and the Barrier Smile Hypothesis:
A Rival Empirical Model 98
3.3.1 Mechanical Trading and Implicit Trading Regimes in
FX Markets 101
3.3.2 Implicit Trading Regimes and the Dynamics of Con¬
ditional Exchange Rate Volatility 104
3.3.3 Robustness of the Results 114
3.4 Noise Trader in a Heston Style Model: A Primer 124
3.4.1 The Structure of the Economy 125
3.4.2 Noise Trader and Foreign Currency Options 132
3.5 Summary 136
3.5.1 Policy Implications 141
4 Exchange Rate Policy and FX Options 144
4.1 Central Bank Interventions and FX Option Pricing 145
4.1.1 The FX Option Pricing Model 149
4.1.2 The Impact of Infrequent Central Bank Interventions on
FX Option Prices 152
4.2 Implied Volatilities and the Effectiveness of Central Bank
Interventions 159
4.2.1 Results Reported in the Literature 161
4.2.2 Discussion of the Research Strategy 167
4.2.3 The Data 171
4.2.4 The Effectiveness of Bundesbank Foreign Exchange
Market Interventions 178
4.3 Summary 183
5 Conclusion 186
References 190
Index 206
List of Tables
Table 2.1: Sensitivities of the Garman Kohlhagen Currency Option
Pricing Formula 13
Table 3.1: Descriptive Statistics for the Levels of the Currency Pairs
under Investigation 90
Table 3.2: Diagnostic Statistics for the Returns of the Exchange Rates
under Investigation 90
Table 3.3: Implicit Price Barriers and Exchange Rate Volatility 92
Table 3.4: Diagnostic Statistics for the Models of Implicit Price Barriers
and Exchange Rate Volatility (Model I) 95
Table 3.5: Alternative Moving Average Specifications and the Number
of Realizations in the Trading Regimes under Different Threshold
Assumptions 104
Table 3.6: Implicit Trading Triggers and Exchange Rate Volatility
(MA150 representation) 106
Table 3.7: Implicit Trading Triggers and Exchange Rate Volatility
(MA50 representation) 108
Table 3.8: Implicit Trading Triggers and Exchange Rate Volatility
(MAiqq representation) 110
Table 3.9: Diagnostic Statistics for the Models of Implicit Trading
Regimes and Exchange Rate Volatility (Model II, MAlOo target value) 113
Table 3.10: A Nonparametric Test for the Link between Conditional
Exchange Rate Volatility Options and Implicit Trading Regimes 116
Table 4.1: Modeling Conditional Stock Market Volatility 175
Table 4.2: Reaction Function Derived by Estimating a Tobit Model 177
Table 4.3: Ordered Probit Model for Individual Effects of Explanatory
Variables 179
Table 4.4: Estimates of Joint Effects in the Ordered Probit Model 180
VIII List of Figures
Table 4.5: Estimates of Joint Effects in the Ordered Probit Model
Including a Dummy for Reported Interventions 181
Table 4.6: Probabilities, Marginal Effects, and Elasticities in the Ordered
Probit Model 182
List of Figures
Figure 2.1: Implications of the Absolute Diffusion Model for the Pricing
of FX Options 26
Figure 2.2: The Time Varying Nature of Annualized Volatilities Implicit
in At the Money Forward US/DM and Yen/DM Options (time to expiry:
one month) 28
Figure 2.3: Stochastic Volatility and the Premia of a European Call on
Foreign Currency 33
Figure 2.4: The Vega of the Garman and Kohlhagen Option Premia 33
Figure 2.5: Implications of Exchange Rate Jumps for Currency Option
Prices and Hedge Ratios 41
Figure 3.1: State Contingent Market Entry and Exit of Technical Traders
and Exchange Rate Dynamics 65
Figure 3.2: Noise Trading and a U Shaped Implied Volatility Strike
Structure 73
Figure 3.3: Distant Technical Trading Thresholds and the Convexity of
the Volatility Smile 75
Figure 3.4: The Aggressiveness of Noise Traders and the Shape of the
Volatility Strike Structure 77
List of Figures IX
Figure 3.5: Asymmetrically Spaced Trading Thresholds and Skewness in
the Smile 78
Figure 3.6: Actual versus Fitted Cumulative Distribution Function for the
Standardized Residuals of the CAN/US Returns 97
Figure 3.7: Estimated State Contingent Empirical Conditional Volatility
Densities 119
Figure 3.8: Selected Impulse Response Functions for the Estimated
Bivariate Systems 123
Figure 3.9: Noise Trading and Exchange Rate Volatility 129
Figure 4.1: The Impact of the Intervention Probability on At the Money
FX Options in the Managed Float: Part I 155
Figure 4.2: The Impact of the Intervention Probability on At the Money
FX Options in the Managed Float: Part II 157
Figure 4.3: The Impact of a Variation in the Intervention Probability on
In the Money Options in the Managed Float: Part III 158
Figure 4.4: Time Series Used in the Empirical Analyses 172
|
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| author | Pierdzioch, Christian |
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| dewey-search | 332.4/5 332.4/5 21 |
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:55:06Z |
| institution | BVB |
| isbn | 3540427457 |
| language | German |
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| physical | XVII, 207 S. graph. Darst. |
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| spelling | Pierdzioch, Christian Verfasser aut Noise trading, central bank interventions, and the informational content of foreign currency options Christian Pierdzioch Berlin [u.a.] Springer 2001 XVII, 207 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Kieler Studien 313 Option de change - Modèles mathématiques ram Mathematisches Modell Foreign exchange options -- Mathematical models Börseninformation (DE-588)4285509-3 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Noise trading (DE-588)4380085-3 gnd rswk-swf Devisenoption (DE-588)4204791-2 gnd rswk-swf Wechselkurspolitik (DE-588)4131291-0 gnd rswk-swf Devisenoption (DE-588)4204791-2 s Börseninformation (DE-588)4285509-3 s Noise trading (DE-588)4380085-3 s Wechselkurspolitik (DE-588)4131291-0 s DE-604 Preisbildung (DE-588)4047103-2 s Kieler Studien 313 (DE-604)BV000001650 313 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009552545&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pierdzioch, Christian Noise trading, central bank interventions, and the informational content of foreign currency options Kieler Studien Option de change - Modèles mathématiques ram Mathematisches Modell Foreign exchange options -- Mathematical models Börseninformation (DE-588)4285509-3 gnd Preisbildung (DE-588)4047103-2 gnd Noise trading (DE-588)4380085-3 gnd Devisenoption (DE-588)4204791-2 gnd Wechselkurspolitik (DE-588)4131291-0 gnd |
| subject_GND | (DE-588)4285509-3 (DE-588)4047103-2 (DE-588)4380085-3 (DE-588)4204791-2 (DE-588)4131291-0 |
| title | Noise trading, central bank interventions, and the informational content of foreign currency options |
| title_auth | Noise trading, central bank interventions, and the informational content of foreign currency options |
| title_exact_search | Noise trading, central bank interventions, and the informational content of foreign currency options |
| title_full | Noise trading, central bank interventions, and the informational content of foreign currency options Christian Pierdzioch |
| title_fullStr | Noise trading, central bank interventions, and the informational content of foreign currency options Christian Pierdzioch |
| title_full_unstemmed | Noise trading, central bank interventions, and the informational content of foreign currency options Christian Pierdzioch |
| title_short | Noise trading, central bank interventions, and the informational content of foreign currency options |
| title_sort | noise trading central bank interventions and the informational content of foreign currency options |
| topic | Option de change - Modèles mathématiques ram Mathematisches Modell Foreign exchange options -- Mathematical models Börseninformation (DE-588)4285509-3 gnd Preisbildung (DE-588)4047103-2 gnd Noise trading (DE-588)4380085-3 gnd Devisenoption (DE-588)4204791-2 gnd Wechselkurspolitik (DE-588)4131291-0 gnd |
| topic_facet | Option de change - Modèles mathématiques Mathematisches Modell Foreign exchange options -- Mathematical models Börseninformation Preisbildung Noise trading Devisenoption Wechselkurspolitik |
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