Assessing the Garman-Kohlhagen option pricing model

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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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Bibliographic Details
Main Author:	Gros, Guillaume
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23241/

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