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Pricing Of Foreign Currency Options In The Serbian Market

Author

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  • Irena Janković

Abstract

The main idea of this paper is to find the most suitable approach to the valuation of foreign currency options in the Serbian financial market. Volatility analysis included the application of the GARCH model which resulted in the marginal volatility measure, which was used in the pricing of basic foreign currency options in the local market. The analysis is completed with an overview of the implementation of FX derivatives in the Serbian financial market.

Suggested Citation

  • Irena Janković, 2009. "Pricing Of Foreign Currency Options In The Serbian Market," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 54(180), pages 91-115, January –.
    • Handle: RePEc:beo:journl:v:54:y:2009:i:180:p:91-115
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    More about this item

    Keywords

    option pricing; stochastic volatility; GARCH model;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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