Modeling volatility in foreign currency option pricing
dc.contributor.author | Hoque, Mohammed | |
dc.contributor.author | Chan, Felix | |
dc.contributor.author | Manzur, Meher | |
dc.date.accessioned | 2017-01-30T11:17:24Z | |
dc.date.available | 2017-01-30T11:17:24Z | |
dc.date.created | 2008-11-12T23:36:18Z | |
dc.date.issued | 2008 | |
dc.identifier.citation | Hoque, Mohammed and Chan, Felix and Manzur, Meher (2008) Modeling volatility in foreign currency option pricing, School of Economics and Finance Working Papers Series: no. 08:09, Curtin University of Technology, School of Economics and Finance. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/10204 | |
dc.description.abstract |
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major currencies, including Euro. The forecast performance of this framework is compared with the forecast performance of the Multiplicative Error Model (MEM) of implied volatility and the GARCH(1,1). The results indicate that the proposed framework is capable of producing reasonably accurate forecasts for put and call prices. | |
dc.publisher | School of Economics and Finance, Curtin Business School | |
dc.subject | multiplicative error model | |
dc.subject | implied volatility | |
dc.subject | foreign currency options | |
dc.subject | GARCH model | |
dc.subject | optimal volatility | |
dc.title | Modeling volatility in foreign currency option pricing | |
dc.type | Working Paper | |
dcterms.source.volume | 08.09 | |
dcterms.source.month | may | |
dcterms.source.series | School of Economics and Finance Working Papers Series | |
curtin.identifier | EPR-2998 | |
curtin.accessStatus | Open access | |
curtin.faculty | Curtin Business School | |
curtin.faculty | School of Economics and Finance |