Modeling volatility in foreign currency option pricing
This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framewor...
| Main Authors: | , , |
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| Format: | Working Paper |
| Published: |
School of Economics and Finance, Curtin Business School
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/10204 |