Arbeitspapier
Noise Traders' Trigger Rates, FX Options, and Smiles
Kieler Arbeitspapiere, 970
Autoren
Erscheinungsdatum
JEL Classification
F31
G13
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped.
