کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5055302 | 1371488 | 2012 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives](/preview/png/5055302.png)
Revised implied volatility curves and surfaces for the Chinese Yuan (CNY) exchange rate are obtained from market quotations for CNY non-deliverable options by solving an inverse problem of foreign exchange option pricing, which is calculated using a regularization approach in an optimal control framework. To take account of the market expectation for the CNY exchange rate, a stochastic adjusted factor is applied that follows a Vasicek model with parameters fitted from market quotations for CNY non-deliverable forwards. A well-posed numerical scheme is implemented.
⺠Calibration implied volatilities of CNY exchange rate by quotations of CNY options. ⺠Calibration is based on a regularization approach in an optimal control framework. ⺠A stochastic factor is adjusted, which follows a Vasicek model fitted by CNY NDF .⺠Numerical examples are presented on certain days with the exchanges' behaviour.
Journal: Economic Modelling - Volume 29, Issue 4, July 2012, Pages 1278-1285