Pricing European continuous-installment currency options with mean-reversion

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2021.101605 ◽

2021 ◽

pp. 101605

Author(s):

Junkee Jeon ◽

Geonwoo Kim

Keyword(s):

Mean Reversion ◽

Currency Options

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Path-dependent currency options with mean reversion

Journal of Futures Markets ◽

10.1002/fut.20306 ◽

2008 ◽

Vol 28 (3) ◽

pp. 275-293 ◽

Author(s):

Hoi Ying Wong ◽

Ka Yung Lau

Keyword(s):

Mean Reversion ◽

Currency Options ◽

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Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies

10.2469/dig.v30.n4.778 ◽

2000 ◽

Vol 30 (4) ◽

pp. 64-65

Author(s):

Roger Ignatius

Keyword(s):

Stock Markets ◽

Mean Reversion ◽

Investment Strategies

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Learning and Mean Reversion in Asset Returns

10.2469/dig.v30.n3.725 ◽

2000 ◽

Vol 30 (3) ◽

pp. 56-57

Author(s):

William H. Sackley

Keyword(s):

Mean Reversion ◽

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Nonlinear Mean Reversion in Stock Prices

10.2469/dig.v38.n4.1 ◽

2008 ◽

Vol 38 (4) ◽

pp. 37-38

Author(s):

Michael Kobal

Keyword(s):

Stock Prices ◽

Mean Reversion ◽

Nonlinear Mean Reversion

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Dynamic Mean Reversion Of Stock Prices :, Evidence From Amman Stock Exchange

10.35516/1250-005-001-004 ◽

2018 ◽

pp. 57

Author(s):

ديما وليد حنا الربضي

Keyword(s):

Stock Prices ◽

Stock Exchange ◽

Mean Reversion ◽

Amman Stock Exchange

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Mean Reversion of the Trading Volume

Asian Review of Financial Research ◽

10.37197/arfr.2019.32.2.1 ◽

2019 ◽

Vol 32 (2) ◽

pp. 149-186

Author(s):

Mhin Kang ◽

◽

Joon Chae

Keyword(s):

Trading Volume ◽

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Risk-neutralized at-the-money consistent historical distributions in currency options pricing

The Journal of Computational Finance ◽

10.21314/jcf.2002.080 ◽

2002 ◽

Vol 6 (1) ◽

pp. 25-47 ◽

Author(s):

Nusret Cakici ◽

Kevin Foster

Keyword(s):

Options Pricing ◽

Currency Options

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A Spot Price's Model for Electricity in the Colombian Market Using Markov Chains and Mean Reversion - An Approach for Including the ENSO Effects on Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1753064 ◽

2011 ◽

Author(s):

Gonzalo Diaz-Hoyos

Keyword(s):

Markov Chains ◽

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Information Shares of Two Parallel Currency Options Markets: Trading Costs versus Transparency/Tradability

SSRN Electronic Journal ◽

10.2139/ssrn.2496519 ◽

2014 ◽

Author(s):

Louis R Piccotti ◽

Ben Z. Schreiber

Keyword(s):

Trading Costs ◽

Options Markets ◽

Currency Options ◽

Parallel Currency ◽

Information Shares

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Toxic Currency Options in Poland as a Consequence of the 2008 Financial Crisis.

SSRN Electronic Journal ◽

10.2139/ssrn.2669391 ◽

2015 ◽

Author(s):

Kamil Liberadzki

Keyword(s):

Financial Crisis ◽

Currency Options ◽

2008 Financial Crisis ◽

The 2008 Financial Crisis

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