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Options And The Currency Risk Premium

In: Currency Options And Exchange Rate Economics

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  • Richard K. Lyons

    (Associate Professor at Hass School of Business, University of California, USA)

Abstract

The following sections are included:IntroductionRisk Premium Theory and Past Empirical ResultsThe simple efficiency hypothesisA portfolio balance model of the risk premiumThe Option Model and Data UsedThe binomial pricing modelInputs for the valuation modelEmpirical ResultsTest of simple efficiencySimple efficiency: adding some structureTest of the portfolio balance modelA final note regarding sterilised interventionConclusionsData AppendixReferences

Suggested Citation

  • Richard K. Lyons, 1998. "Options And The Currency Risk Premium," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 6, pages 94-107, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0006
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