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The fair value of FX options. Do you get what you pay for?

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  • Vincent Charvin
  • Jonathan Fullwood
  • Jessica James

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  • Vincent Charvin & Jonathan Fullwood & Jessica James, 2014. "The fair value of FX options. Do you get what you pay for?," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 15-23, January.
    • Handle: RePEc:taf:quantf:v:14:y:2014:i:1:p:15-23
    DOI: 10.1080/14697688.2013.787493
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    References listed on IDEAS

    as
    1. Jessica James, 2003. "Trend following and option writing—a surprising portfolio," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 97-100.
    2. Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010. "Asymmetry of information flow between volatilities across time scales," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
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