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dc.contributor.authorPierdzioch, Christianen_US
dc.date.accessioned2009-01-28T15:00:17Z-
dc.date.available2009-01-28T15:00:17Z-
dc.date.issued2000en_US
dc.identifier.urihttp://hdl.handle.net/10419/17907-
dc.description.abstractA 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. The curvature of the volatility strike structure is explained by focusing attention on the expected aggregate net volume and direction of standing orders executed when the exchange rate reaches certain implicit price barriers triggering program traders to reallocate financial wealth. The valuation framework allows to endogenously reproduce the characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for implicit price barriers in foreign exchange markets is employed to examine whether empirical evidence supports the barriers hypothesis of the volatility strike structure proposed in the paper.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKieler Arbeitspapiere 970en_US
dc.subject.jelG13en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordForeign Currency Optionsen_US
dc.subject.keywordVolatility Smileen_US
dc.subject.keywordNoise Tradingen_US
dc.subject.keywordImplicit Price Barriersen_US
dc.subject.keywordGARCH modelen_US
dc.subject.stwDevisenoptionsgeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwNoise Tradingen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwDevisenhandelen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwVereinigte Staatenen_US
dc.subject.stwJapanen_US
dc.subject.stwGroßbritannienen_US
dc.subject.stwKanadaen_US
dc.titleNoise Traders? Trigger Rates, FX Options, and Smilesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn312641419en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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