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dc.contributor.authorBecker, Christophen_US
dc.contributor.authorWystup, Uween_US
dc.description.abstractIn Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m. in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market. However, many clients, particularly from Italy, prefer the cutoff and knock-out event to be based on the fixing published by the European Central Bank on the Reuters Page ECB37. These barrier options are called discretely monitored barrier options. While these options can be priced in several models by various techniques, the ECB source of the fixing causes two problems. First of all, it is not tradable, and secondly it is published with a delay of about 10 - 20 minutes. We examine here the effect of these problems on the hedge of those options and consequently suggest a cost based on the additional uncertainty encountered.en_US
dc.publisherHfB, Business School of Finance and Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 3en_US
dc.subject.keywordexotic optionsen_US
dc.subject.keywordcurrency fixingsen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.titleOn the cost of delayed currency fixing announcementsen_US
dc.typeWorking Paperen_US
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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