Pricing Foreign Currency and Cross-Currency Options Under GARCH

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Pricing Foreign Currency and Cross-Currency Options Under GARCH

Author Info

Wei, J.Z.
Duan, J.C.

Abstract

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option princing methodology of Duan (1995) to a two-country setting.

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Publisher Info
Paper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-01.

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Length: 21 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:rotfin:99-01

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Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Phone: 416.978.3499
Web page: http://www.mgmt.utoronto.ca/
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Find related papers by JEL classification:
E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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