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Currency Cross-Rate Option Pricing Bounds by Cristina Andreea is a document available to read on EtoBox.

What is Currency Cross-Rate Option Pricing Bounds about?

This document presents a method for deriving pricing bounds for currency cross-rate options using the prices of related dollar-rate options. The key points are: 1) The pricing bounds do not rely on distributional assumptions and are instead based on dollar-rate option prices, providing a potentially useful hedging instrument. 2) Empirical tests show stable relationships between cross-rate option prices and the estimated bounds, and the bounds explain about 85% of cross-rate price movements. 3) The bound

Author

Cristina Andreea

Language

EN