Pricing of foreign currency options in the Serbian market
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 fo...
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| Format: | Article |
| Language: | English |
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Faculty of Economics, Belgrade
2009-01-01
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| Series: | Ekonomski Anali |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2009/0013-32640980091J.pdf |
| _version_ | 1811246450566234112 |
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| author | Janković Irena |
| author_facet | Janković Irena |
| author_sort | Janković Irena |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-12T14:53:41Z |
| format | Article |
| id | doaj.art-bf3ea209c711456c81b5be15ed0008f2 |
| institution | Directory Open Access Journal |
| issn | 0013-3264 |
| language | English |
| last_indexed | 2024-04-12T14:53:41Z |
| publishDate | 2009-01-01 |
| publisher | Faculty of Economics, Belgrade |
| record_format | Article |
| series | Ekonomski Anali |
| spelling | doaj.art-bf3ea209c711456c81b5be15ed0008f22022-12-22T03:28:20ZengFaculty of Economics, BelgradeEkonomski Anali0013-32642009-01-01541809111510.2298/EKA0980091JPricing of foreign currency options in the Serbian marketJanković IrenaThe 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.http://www.doiserbia.nb.rs/img/doi/0013-3264/2009/0013-32640980091J.pdfoption pricingstochastic volatilityGARCH model |
| spellingShingle | Janković Irena Pricing of foreign currency options in the Serbian market Ekonomski Anali option pricing stochastic volatility GARCH model |
| title | Pricing of foreign currency options in the Serbian market |
| title_full | Pricing of foreign currency options in the Serbian market |
| title_fullStr | Pricing of foreign currency options in the Serbian market |
| title_full_unstemmed | Pricing of foreign currency options in the Serbian market |
| title_short | Pricing of foreign currency options in the Serbian market |
| title_sort | pricing of foreign currency options in the serbian market |
| topic | option pricing stochastic volatility GARCH model |
| url | http://www.doiserbia.nb.rs/img/doi/0013-3264/2009/0013-32640980091J.pdf |
| work_keys_str_mv | AT jankovicirena pricingofforeigncurrencyoptionsintheserbianmarket |