<t>hi,if i want to price an european fx-option with a garch option-price model similar to the one from Duan, then there doesn't exist an unique martingale-measure.are the markets always incomplete if i use a garch model and a not constant contingent variance?why is that? does any one knows a got res...

Hi,does anynone know a good paper or webside where the derivation of the Garman-Kohlhagen formula is explained. I got the original paper but it would be great if I had another source.thanks a lot.

<t>thanks amali,I buy an one month call-option on lets say on 28th of may 2004. and I have the spot price of that day, too.then you say I need the spot settlement date. is that 2nd of june (because of bank holidays)?then I go one month in the future, i.e. 2nd of july and subtract two days, i.e. 30th...

<t>hi,if you average the bid- and ask- spot price, then the inverse rate is 'correct', isn't it?as you pointed out, is the there a spread in the market, does that mean that I shouldnt price an eurusd-call with an average spot-price? instead I should take the eurusd-bid rate?fx-option: do you know ho...

<t>hi,thanks for you answer.the exchange rate between eur and usd is eurusd, i.e. for one euro I get 1.23 us-dollar.but the exchange rate between usd and yen or usd and chf is different quoted, i.e. how much us-dollar do I get for one chf or for 100yen.why that difference?and my second question was ...

<t>thanks.concerning the example for call gbp against us-dollar and put dollar against pound: spot = 1.6 $/Poundif the strike wouldnt be 1.6 but lets say 1.4$/gbp. if I want to make the premium of the put equivalent to the call-option, do I have to multiply first by the spot, in order to value the s...

<t>thanks daveangel!hi,thanks for you quick reply.lets say I am looking at EURUSD, i.e one euro values 1.24 us-dollar. so the fx-exchange-rate is 1,24$/€.If I want to value a call on Euro against Us-Dollar with the formula of Garman-Kohlhagen or Black-Scholes, respectivly, can I use the EURUSD rate?...

<t>in hull, page 284: example for a fx-option:foreign-exchange: usdgbp=1.6, i.e. one pound has the value of 1.6 us-dollara call option on the british pound is considered:strike: 1.6 (does this mean 1.6 us-dollar/pound?)r_usa: 0.08 (this is the domestic interest rate)r_gbp: 0.11 (=r_f, i.e. the forei...

<t>are you sure, that for a put on euro against the us-dollar with the exchange-rate quoted as EURUSD, i.e. the value of one euro in us-dollar, r_d is the USD rate?in hull (p.283) is mentioned that the exchange rate is the value of one unit of the foreign currency measured in the domestic currency. ...

<t>if I assume that the fx-exchange rate for eurusd is 1.22, i.e. one euro equals 1.22 us-dollar. the implied volatility for a put-option with maturity 1 month and delta_put=10 is according to the volatility-matrix 10.83%.does this mean that I am considering a put on euro against the us-dollar? in t...

<t>thanks for you quick answer!am I right that an eurusd-call, i.e. the right to buy euros at maturity is equivalent to an usd-put, i.e. the right to sell us-dollars?an in the volatility-matrix, what kind of options are considerd? on the left for the put-columns for example a eurusd-put, i.e. the ri...

<t>hi,thank you for you answer!but why dont you title a volatiltiy-matrix with delta-values ranging from 0 to 1 for a call-option. why do you label the matrix with deltas from put and call options,and why are the delta-values declining on each side from the atm-column? does the right side of the mat...

<t>hi quantie, thank you very much for you answer. Now I know how to calculate the strike price for a given delta.but I am not sure what the second line of the following matrix stands for. you got any idea? if it is delta, then I dont understand why the figures on the left side, i.e. for the put col...

<t>What would you suggest for a graduate student? rather start stright away in the industry or rather continue with a phd which would last about 3 or 4 years?Aaron pointed out that the demand for quants will decline in the near future. Does it make sense to continue with a finance phd and then try t...

<t>hello, am I right, that the official exchange rate for euro and us-dollar is eurusd? why do there existst fx-pairs like: eurusd but gbpusd or jpyusd? if I want to price a eurusd fx-option with garman-kohlhagen lets say. what is the foreign and what the domestic interest rate? is the interest rate...