Pricing Foreign Currency and Cross-Currency Options Under GARCH
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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6|
Web page: http://www.rotman.utoronto.ca/
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