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Exchange options and spread options with stochastically correlated underlyings
Applied Economics Letters, 2021This paper investigates the valuation of exchange options and spread options with stochastically correlated underlying assets.
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Exchange rate intervention with options
Journal of International Money and Finance, 2003Abstract We consider the problem of a Central Bank that has exchange rate goals. In a partial equilibrium setting, we compare “direct” intervention through sale/purchase of reserves in the currency market with an alternative strategy of intervention with options.
Fernando Zapatero, Luis F. Reverter
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On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002The authors consider the model for financial market, in which \(n+1\) assets are traded. The price \(S_{t}^0\) of the first of these assets evolves according to the equation \(dS_{t}^0=rS_{t}^0dt,\;S_{0}^0=1,\) where \(r\) is the riskless interest rate.
Choi, Won, Ahn, Seung Chul
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LOEX Option: A Combination of Exchange Option and Lookback Option
Management Analytics and Social InsightsIn this article, we consider modeling and pricing a combination of two options (Exchange option and Lookback option) that we call the LOEX option. It is a type of exotic option, or clearer, path-dependent option because its price depends on the maximum and minimum prices of the assets to be considered.
Ghasem Pour, Rajabali +2 more
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Too Many Options? Theory and Evidence on Option Exchange Design
SSRN Electronic Journal, 2004In this paper I propose and test a model of option exchange design when investors choose among several exchange-traded options based on a trade-off between standardization costs and liquidity/transaction costs. The model employs a spatial economics approach to provide results for the existence of markets for particular option contracts on the exchange,
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Sequential American Exchange Property Options
The Journal of Real Estate Finance and Economics, 2007Property development activities often occur in stages, which are appropriately modeled as sequential American exchange property options, where there are interim expenditures required in order to keep the property development options “alive”. Normally American exchange options require a numerical solution, but herein there is a new closed-form ...
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Foreign exchange quanto options [PDF]
, 2008 A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1].
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Structure of Exchange-Traded Options Markets
1991In this chapter, I will examine how exchange-traded options markets function. Initially, I will explain the role of the clearing house and the mechanics of margining at a typical futures and options exchange. Then, I will examine in detail the structure of four option markets that have different structures: the Philadelphia Stock Exchange, the European
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Vulnerable power exchange options with liquidity risk
Physica A: Statistical Mechanics and its ApplicationszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Priya Mittal, Dharmaraja Selvamuthu
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