the buyer will state how much they would like to buy, the price they want to buy at, and the date for expiration. A seller will then respond with a quoted premium for the trade. Traditional options may have American or European style expirations. Both the put and call options...
Previous studies find that implied volatility (ISD) of call options is usually different from that of put options, because of the non-lognormal distribution of underlying assets' prices. This study develops the Direction Bias Hypothesis regarding the information content of ISD asymmetry for currency ...
aThere are two type of currency futures options: currency futures calls and currency futures puts. A currency futures call option gives the buyer the right, but not the obligation, to buy a particular currency futures contract at a specified price at any time during the life of the option. ...
1.5 Thevolatility smileoccurs when OTM call and put option volatilities are higher than ATM option volatilities and are also higher than normal volatilities for OTM put and call options. When the implied volatilitydecreases for OTM (out-of-the-money) calls relative to ATM (at-the-money) calls ...
Currency Options Terminology and Elements Spot Rate The spot rate is the currentexchange rate. Strike Price The strike price is the exchange rate at which the contract can be exercised. Call Option and Put Option A call option provides the buyer with the right to buy a currency at the strike...
We obtain tax-modified option prices similar to the no-tax ones, but augmented by tax-induced 鈥渞isk-premium鈥terms; tax-modified put-call parity conditions are derived that revert to their standard (no-tax) format if the respective marginal agents in the bond and option markets are in ...
A country'scentral bankgoes into the open market to buy and sell its currency to maintain the pegged ratio that has been deemed optimal. The term pegging also refers to a strategy used by some buyers and writers (sellers) of call and put options to manipulate the price of an underlying ...
Put-call parity is used to study the early exercise premium for currency optionstraded on the Philadelphia Stock Exchange. Using 564 pairs of call and putoptions evidence is provided that the early exercise premiums are on average5.71% for put options and 6.88% for call options. The premiums ...
B.Corporations who expect to buy foreign currency to finance foreign subsidiaries. C.Corporations who expect to collect on a foreign account receivable in one month. D.all of the above 正确答案:Corporations who expect to buy foreign currency to finance foreign subsidiaries. ...
Using 564 pairs of call and putoptions evidence is provided that the early exercise premiums are on average5.71% for put options and 6.88% for call options. The premiums for both call andput options are strongly related to time to maturity and the interest ratedifferential. These results are ...