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Keywords: Currency options
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Journal Articles
Journal:
Journal of Indian Business Research
Journal of Indian Business Research (2022) 14 (4): 403–425.
Published: 20 May 2022
... 08 06 2021 11 01 2022 30 03 2022 26 04 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only Currency options Corridor implied volatility Model-free implied volatility Volatility index Dollar-rupee returns G12 G13...
Journal Articles
Journal:
Journal of Indian Business Research
Journal of Indian Business Research (2019) 11 (1): 23–49.
Published: 08 October 2018
.... 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...
