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Perpetual currency options
In: International journal of forecasting, Band 3, Heft 1, S. 179-184
ISSN: 0169-2070
Arbitrage on Cross Currency Options
SSRN
Central Bank Participation in Currency Options Markets
In: IMF Working Paper No. 1999/140
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Scotland: Currency Options and Public Debt
In: National Institute economic review: journal of the National Institute of Economic and Social Research, Band 227, S. R14-R20
ISSN: 1741-3036
This paper considers which currency option would be best for an independent Scotland. We examine three currency options: being part of a sterling currency zone, adopting the euro, or having an independent currency. No currency option is the best when considered against all criteria. Therefore, making the decision requires deciding which criteria are most important. Recent events around the world, particularly in Europe, show that it is essential to consider how an independent Scotland would seek to adjust to adverse economic circumstances. In economists' terms, it is important to think through the 'off-equilibrium' adjustment paths of each of the currency options. The amount of public debt, and so the capacity for a fiscal response, is a critical determinant of these paths and therefore of the optimal currency choice. Since commitment to a currency union by an independent country can only be conditional, an independent Scotland might find it optimal to abandon the currency union in the future if the financial stability advantages to having its own currency begin to outweigh any disadvantages due to trade and transactions costs.
Terminating Currency Options for Distressed Economies
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Working paper
Currency Options and Export‐Flexible Firms
In: Bulletin of economic research, Band 56, Heft 4, S. 379-394
ISSN: 1467-8586
AbstractThis paper examines the production and hedging decisions of a globally competitive firm under exchange rate uncertainty. The firm is risk averse and possesses export flexibility in that it can distribute its output to either the domestic market or a foreign market after observing the realized spot exchange rate. To hedge against its exchange rate risk exposure, the firm can trade fairly priced currency call options of an arbitrary strike price. We show that both the separation and the full‐hedging results hold if the strike price of the currency call options is set equal to the ratio of the domestic and foreign selling prices. Otherwise, neither result holds. Specifically, we show that the optimal level of output is always less than that of an otherwise identical firm that is risk neutral. Furthermore, an under‐hedge (over‐hedge) is optimal whenever the strike price of the currency call options is below (above) the ratio of the domestic and foreign selling prices.
Currency options: Hayek and competing currencies
In: Economic affairs: journal of the Institute of Economic Affairs, Band 21, Heft 2, S. 46-48
ISSN: 1468-0270
While monetary theory indicates the advantages of a single currency, there are compelling arguments for the UK to remain outside the euro‐zone.
The Pricing of Foreign Currency Options
In: The Canadian Journal of Economics, Band 24, Heft 2, S. 251
The Volatility Risk Premium Embedded in Currency Options
In: Journal of Financial and Quantitative Analysis, Vol. 40, No. 4, December 2005, 803-832.
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Risk neutral probability density for currency options
Mestrado em Finanças ; Este trabalho tem o objectivo de facilitar a previsão para investidores em mercados financeiros. Embora possa ser usado em acções e futuros de petróleo, o principal objectivo é o mercado cambial, mais especificamente, opções de moeda, extraindo com risco neutro a densidade de probabilidade da função através de uma abordagem paramétrica e não paramétrica. Consequentemente, tal foi aplicado a um caso muito recente, em 2019, entre o dólar Norte americano e a libra inglesa, tornando assim mais atractiva a leitura do comportamento da densidade, especialmente com a saída do Reino unido da União Europeia. ; This work has the purpose of easing the forecast for financial market investors. Although it can be used on equities and oil futures, the main aim is the Foreign exchange. More so, it is specialized on currency options, extracting then the closer Risk Neutral Probability Density Function through a parametric approach and a nonparametric approach. Subsequently, this was applied to a very recent case, in 2019, between the United States of America dollar and United Kingdom pound, making it more attractive to assess the behaviour of the density, specially linked to the withdrawal of United Kingdom from the European Union. ; info:eu-repo/semantics/publishedVersion
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Pricing foreign currency options with stochastic volatility
In: Working paper series 8816