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Option price predictability, splines, and expanded rationality
The current practice of option price forecast relies on the outputs of various option pricing
models. The expected value of the current option price is widely regarded as the best …
models. The expected value of the current option price is widely regarded as the best …
On model robustness of the regime switching approach for pegged foreign exchange markets
Y Zhang, S Drapeau - Quantitative Finance, 2022 - Taylor & Francis
We test the robustness of the regime switching model for pegged markets introduced by
Drapeau et al.[How rational are the option prices of the Hong Kong dollar exchange rate? J …
Drapeau et al.[How rational are the option prices of the Hong Kong dollar exchange rate? J …
Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
S Drapeau, Y Zhang - arxiv preprint arxiv:1910.08344, 2019 - arxiv.org
This paper investigates the hedging performance of pegged foreign exchange market in a
regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang …
regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang …