Assessing the Garman-Kohlhagen option pricing model
The well-known Black Scholes model has been improved, tested by the academicians since it has seen the light of the day in 1973. Literature is much less plethoric about the Garman-Kohlhagen model (its extension to FX option valuation). This study will confront that model to the reality of FX options...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23241/ |