Pricing foreign currency and cross-currency options under GARCH

Journal of Derivatives

Volumn 7, Issue 1, 1999, Pages 51-63

  Duan, Jin Chuan ^a   Wei, Jason Z ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10044294968     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1999.319110     Document Type: Article

References (37)

1. Amin, K., and V. Ng. "ARCH Processes and Option Valuation." Working paper, University of Michigan, 1993.
2. Bates, D.S. "Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit in Currency Futures Options." Journal of International Money and Finance, 15 (1996a), pp. 65-93.
3. Bates, D.S. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." Review of Financial Studies, 9 (1996b), pp. 69-107.
4. Biger, N., and J. Hull. "The Valuation of Currency Options." Financial Management, 12 (1983), pp. 24-28.
5. Black, F. "Studies in Stock Price Volatility Changes." Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, 1976, pp. 177-181.
6. Bodurtha, J., and G. Courtadon. "Tests of an American Option Pricing Model on the Foreign Currency Option Market." Journal of Financial and Quantitative Analysis, 22 (1987), pp. 153-167.
7. Bollerslev, T. "Generalized Autoregressive Conditional Heteroscedasticity." Journal of Econometrics, 31 (1986), pp. 307-327.
8. Bollerslev, T., R. Chou, and K. Kroner. "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics, 52 (1992), pp. 5-59.
9. Canina, L., and S. Figlewski. "The Information Content of Implied Volatility." Review of Financial Studies, 6 (1993), pp. 659-681.
10. Chaudhury, M.M., and J.Z. Wei. "A Comparative Study of the GARCH(1, 1) and Black-Scholes Option Prices." Working paper, University of Saskatchewan, 1996.
11. Christie, A.A. "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects." Journal of Financial Economics, 10 (1982), pp. 407-432.
12. Day, T.E., and C.M. Lewis. "Stock Market Volatility and the Information Content of Stock Index Options." Journal of Econometrics, 52 (1992), pp. 267-287.
13. Dravid, A., M. Richardson, and T. Sun. "Pricing Foreign Index Contingent Claims: An Application to Nikkei Put Warrants." Journal of Derivatives, 1 (1993), pp. 33-51.
14. Duan, J.-C. "Augmented GARCH(p,q) Process and its Diffusion Limit." Journal of Econometrics, 79 (1997), pp. 97-127.
15. Duan, J.-C. "Cracking the Smile." Risk, 9 (December 1996), pp. 55-59.
16. Duan, J.-C. "The GARCH Option Pricing Model." Mathematical Finance, 5 (1995), pp. 13-32.
17. Duan, J.-C., G. Gauthier, and J.G. Simonato. "An Analytical Approximation for the GARCH Option Pricing Model." Forthcoming, Journal of Computational Finance, 1999.
18. Duan, J.-C., and J.G. Simonato. "American Option Pricing under GARCH by a Markov Chain Approximation." Working paper, Hong Kong University of Science and Technology, 1999.
19. Duan, J.-C. "Empirical Martingale Simulation for Asset Prices." Management Science, 44 (1998), pp. 1218-1233.
20. Engle, R.F. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation." Econometrica, 50 (1982), pp. 987-1008.
21. Engle, R.F., and M. Chowdhury. "Implied ARCH Models from Options Prices." Journal of Econometrics, 52 (1992), pp. 289-311.
22. Engle, R.F., and V. Ng. "Measuring and Testing the Impact of News on Volatility." Journal of Finance, 48 (1993), pp. 1749-1778.
23. Engle, R.F., and J.V. Rosenberg. "GARCH Gamma." Journal of Derivatives, 2 (1995), pp. 47-59.
24. Garman, M., and S. Kohlhagen. "Foreign Currency Option Values." Journal of International Money and Finance, 2 (1983), pp. 231-238.
25. Gruca, E., and P. Ritchken. "Exchange Traded Foreign Warrants." Advances in Futures and Options Research, 6 (1993), pp. 53-66.
26. Heynen, R., and H. Kat. "Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1, 1), and EGARCH (1, 1) Models." Journal of Derivatives, 2 (1994), pp. 50-65.
27. Heynen, R., A. Kemna, and T. Vorst. "Analysis of the Term Structure of Implied Volatilities." Journal of Financial and Quantitative Analysis, 29 (1994), pp. 31-56.
28. Nelson, D.B. "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica, 59 (1991), pp. 347-370.
29. Noh, J., R.F. Engle, and A. Kane. "Forecasting Volatility and Option Prices of the S&P 500 Index." Journal of Derivatives, 2 (1994), pp. 17-30.
30. Ritchken, P., and R. Trevor. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes." Journal of Finance, 54 (1999), pp. 377-402.
31. Rubinstein, M. "Presidential Address: Implied Binomial Trees." Journal of Finance, 49 (1994), pp. 771-818.
32. Shastri, K., and K. Wethyavivorn. "The Valuation of Currency Options for Alternate Stochastic Processes." Journal of Financial Research, 10 (1987), pp. 283-293.
33. Taylor, S.J. Modeling Financial Time Series. New York: John Wiley & Sons, 1986.
34. Taylor, S.J., and X. Xu. "The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates." Review of Futures Markets, 13 (1994), pp. 355-380.
35. Wei, J.Z. "Empirical Tests of the Pricing of Nikkei Put Warrants." Financial Review, 30 (1995), pp. 211-241.
36. Wei, J.Z. "Pricing Nikkei Put Warrants." Journal of Multinational Financial Management, 2 (1992), pp. 45-75.
37. Wei, J.Z. "Valuing Derivatives Linked to Foreign Assets." In A. Konishi and R.E. Dattatreya, eds., Frontiers in Derivatives. Chicago: Irwin Professional Publishing, 1997.