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The Term Structure of Volatility in the Turkish Foreign Exchange : Implications for Option Pricing and Hedging Decisions

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  • Cem Aysoy
  • Ercan Balaban

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  • Cem Aysoy & Ercan Balaban, 1996. "The Term Structure of Volatility in the Turkish Foreign Exchange : Implications for Option Pricing and Hedging Decisions," Discussion Papers 9613, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:dpaper:9613
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/90b10330-912f-4c2b-a9c6-e5c945ac0a19/9613eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-90b10330-912f-4c2b-a9c6-e5c945ac0a19-m3fw6B8
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    References listed on IDEAS

    as
    1. David S. Bates, "undated". "Testing Option Pricing Models," Rodney L. White Center for Financial Research Working Papers 14-95, Wharton School Rodney L. White Center for Financial Research.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    4. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    5. Ercan Balaban, 1995. "The Term Structure of Volatility in the Turkish Stock Market," Discussion Papers 9510, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    Cited by:

    1. Ercan Balaban & Kursat Kunter, 1997. "A note on the efficiency of financial markets in a developing country," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 109-112.
    2. Mehmet Horasanli, 2006. "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 1-10.
    3. Kasman, Adnan & Ayhan, Duygu, 2008. "Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 83-92, January.
    4. Alper YILMAZ & Huseyin ALTAY, 2016. "Ithal Ham Petrol Fiyatlari ve Doviz Kuru Arasindaki Esbutunlesme ve Oynaklik Yayilma Etkisinin Incelenmesi: Turkiye Ornegi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 655-671.

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