IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v36y2001i1p55-70.html
   My bibliography  Save this article

Is Volatility Risk for the British Pound Priced in U.S. Options Markets?

Author

Listed:
  • Sarwar, Ghulam

Abstract

This paper estimates the premium for volatility risk for European currency options written on British pounds. The average annualized premium for volatility risk is neither statistically different from zero nor invariant to the option's moneyness. However, the risk premium is positively and nonproportionally related to the level of volatility, except for out-of-the-money options. Finding a zero premium for volatility risk does not undermine the assumption of a zero-price volatility risk in many extant stochastic-volatility option pricing models and the option pricing formulas in those models. Copyright 2001 by MIT Press.

Suggested Citation

  • Sarwar, Ghulam, 2001. "Is Volatility Risk for the British Pound Priced in U.S. Options Markets?," The Financial Review, Eastern Finance Association, vol. 36(1), pages 55-70, February.
    • Handle: RePEc:bla:finrev:v:36:y:2001:i:1:p:55-70
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007. "Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 225-247.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:36:y:2001:i:1:p:55-70. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.