Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/17907 
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dc.contributor.authorPierdzioch, Christianen
dc.date.accessioned2009-01-28T15:00:17Z-
dc.date.available2009-01-28T15:00:17Z-
dc.date.issued2000-
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
dc.language.isoengen
dc.publisher|aKiel Institute of World Economics (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x970en
dc.subject.jelG13en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordForeign Currency Optionsen
dc.subject.keywordVolatility Smileen
dc.subject.keywordNoise Tradingen
dc.subject.keywordImplicit Price Barriersen
dc.subject.keywordGARCH modelen
dc.subject.stwDevisenoptionsgeschäften
dc.subject.stwOptionspreistheorieen
dc.subject.stwNoise Tradingen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwDevisenhandelen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.subject.stwVereinigte Staatenen
dc.subject.stwJapanen
dc.subject.stwGroßbritannienen
dc.subject.stwKanadaen
dc.titleNoise Traders? Trigger Rates, FX Options, and Smiles-
dc.typeWorking Paperen
dc.identifier.ppn859861139en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:970en
dc.identifier.printppn312641419en

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