Pricing of foreign currency options in the Serbian market | Zendy

Irena Janković | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Pricing of foreign currency options in the Serbian market

Author(s) -

Irena Janković

Publication year - 2009

Publication title -

economic annals

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.148

H-Index - 12

eISSN - 1820-7375

pISSN - 0013-3264

DOI - 10.2298/eka0980091j

Subject(s) - serbian , currency , volatility (finance) , foreign exchange risk , foreign exchange market , economics , valuation (finance) , financial economics , autoregressive conditional heteroskedasticity , business , valuation of options , monetary economics , finance , philosophy , linguistics

The main idea of this paper is to find the most suitable approach to the valuation of foreign currency options in the Serbian financial market. Volatility analysis included the application of the GARCH model which resulted in the marginal volatility measure, which was used in the pricing of basic foreign currency options in the local market. The analysis is completed with an overview of the implementation of FX derivatives in the Serbian financial market

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research