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...
| Main Author: | |
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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/ |
| _version_ | 1848792537164152832 |
|---|---|
| author | Gros, Guillaume |
| author_facet | Gros, Guillaume |
| author_sort | Gros, Guillaume |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 market. By using two sets of data representative of the most traded currency pairs on the forex, EUR / USD and EUR / GBP, we assess how it performs.
Keywords: FX options, option pricing, Black-Scholes model, Garman-Kohlhagen model. |
| first_indexed | 2025-11-14T18:45:59Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23241 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:59Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-232412018-01-14T11:21:53Z https://eprints.nottingham.ac.uk/23241/ Assessing the Garman-Kohlhagen option pricing model Gros, Guillaume 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 market. By using two sets of data representative of the most traded currency pairs on the forex, EUR / USD and EUR / GBP, we assess how it performs. Keywords: FX options, option pricing, Black-Scholes model, Garman-Kohlhagen model. 2009-09-25 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23241/1/Guillaume_GROS_4091135_Dissertation_MA_Finance.pdf Gros, Guillaume (2009) Assessing the Garman-Kohlhagen option pricing model. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Gros, Guillaume Assessing the Garman-Kohlhagen option pricing model |
| title | Assessing the Garman-Kohlhagen option pricing model |
| title_full | Assessing the Garman-Kohlhagen option pricing model |
| title_fullStr | Assessing the Garman-Kohlhagen option pricing model |
| title_full_unstemmed | Assessing the Garman-Kohlhagen option pricing model |
| title_short | Assessing the Garman-Kohlhagen option pricing model |
| title_sort | assessing the garman-kohlhagen option pricing model |
| url | https://eprints.nottingham.ac.uk/23241/ |