... thrown up some contradictory results (Blair et al., 2000 ; Dowling and Muthuswamy, 2005 ; Gonzalez-Perez and Novales Cinca, 2007) and therefore, this topic warrants further study in the context of currency options. Third, most of the research about the implied volatility of currency options...

.... While many studies have solely focused on the pricing performance of option pricing models, this paper examines both the pricing and hedging performance of competing models in the context of Indian currency options. Robustness of findings is tested by comparing model performance across periods of stress...