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19 Jun 2019
Currency options are defined as the right to buy or sell currencies at specified prices. Review the modified Black-Scholes option pricing model (also known as the Garman-Kohlhagen-Black-Scholes model) here: Resolution: The Authority on Derivative Pricing. (http://www.derivativepricing.com/blogpage.asp?id=22)
Discuss the relationships between these variables. In other words, explain the âmoneynessâ or the relationship between the current spot rate and the strike price. Explain the relationship between the domestic interest rate, the foreign interest rate, the time to maturity, and the volatility. Finally, explain the option value.
Currency options are defined as the right to buy or sell currencies at specified prices. Review the modified Black-Scholes option pricing model (also known as the Garman-Kohlhagen-Black-Scholes model) here: Resolution: The Authority on Derivative Pricing. (http://www.derivativepricing.com/blogpage.asp?id=22)
Discuss the relationships between these variables. In other words, explain the âmoneynessâ or the relationship between the current spot rate and the strike price. Explain the relationship between the domestic interest rate, the foreign interest rate, the time to maturity, and the volatility. Finally, explain the option value.
Sixta KovacekLv2
21 Jun 2019
