haku: @author Bollen, N. P. / yhteensä: 1
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| Tekijä: | Bollen, N. P. Gray, S. F. Whaley, R. E. |
| Otsikko: | Regime switching in foreign exchange rates: Evidence form currency option prices |
| Lehti: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 239-276 |
| Asiasana: | ECONOMETRICS FOREIGN EXCHANGE EXCHANGE RATES CURRENCY OPTIONS VALUATION MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | The ability of regime-switching models to capture the dynamics of foreign exchange rates is examined here. Observed option prices are significantly different from their theoretical levels determined by a regime-switching option valuation model and a simulated trading sttrategy based on regime-switching option valuation generates higher profits than standard single-regime alternatives. |
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