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On the cost of delayed currency fixing announcements

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  • Christoph Becker
  • Uwe Wystup

Abstract

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Suggested Citation

  • Christoph Becker & Uwe Wystup, 2009. "On the cost of delayed currency fixing announcements," Annals of Finance, Springer, vol. 5(2), pages 161-174, March.
    • Handle: RePEc:kap:annfin:v:5:y:2009:i:2:p:161-174
    DOI: 10.1007/s10436-008-0101-y
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    References listed on IDEAS

    as
    1. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
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    Cited by:

    1. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.

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    More about this item

    Keywords

    Exotic options; Currency fixings; Foreign exchange; Monte carlo methods; C15; G12;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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