Konstrukcja płaszczyzny uśmiechu zmienności na rynku walutowym

• Authors: Piotr Zasępa

Title variants

EN

Constraction of the Volatility Surface on Foregin Exchange Market

• Languages of publication: PL

Abstracts

EN

The foreign exchange market is one of the most important segments of the financial market. FX options market is also one of the largest in the world. In the case of the basic model of option pricing - Merton Scholes model variability Blacks used for option pricing is constant and flat over time and does not change in relation to the strike price. The term structure of volatility is creating volatility surfaces for which variability has different levels depending on the date and the exercise price of options. This paper presents the characteristics of the exchange rate and pattern construction plane volatility smile in the currency market. Article characterized the basic concepts of interpolation and extrapolation of pairs trading volatility certain exchange rates

Keywords

PL

Kurs walutowy; Rynek walutowy; Zmienność kursu walutowego

EN

Exchange market; Exchange rate variability; Exchange rates

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 163
• Pages: 267-283

Contributors

author

Piotr Zasępa

References

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Identifiers

ISSN

2083-8611