Wednesday, June 26, 2013
Option Pricing - Garman-Kohlhagen
Garman-Kohlhagen is a formula for estimating the value of a European call option on foreign exchange. It assumes the risk-free interest rate (being paid on the foreign currency) as a continuous dividend yield, and avoids the Black Scholes option pricing model's assumption that borrowing and lending takes place at the same interest rate.
Subscribe to:
Post Comments (Atom)
No comments:
Post a Comment