The distribution of exchange rate returns and the pricing of currency options

• 成果类型: Article
• 署名作者: Lim, GC; Lye, JN; Martin, GM; Martin, VL
• 署名单位: University of Melbourne
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00056-1
• 发表日期: 1998
• 页码: 351-368
• 关键词: exchange rate returns; generalized Student t distribution; conditional variance specifications; currency option prices

摘要

An empirical model of the distribution of exchange rate returns based on a combination of the generalized Student t distribution and conditional variance specifications, is formulated and estimated for four daily bilateral exchange rates over the period 1984 to 1991. The empirical results show that the stylized characteristics of exchange rate returns such as volatility clustering, leptokurtosis and skewness, are consistently captured by this model, in contrast with other model specifications based on more restrictive distributional assumptions. Implications of the analysis are also investigated for the pricing of currency options, including comparisons with Black-Scholes prices. (C) 1998 Elsevier Science B.V.