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- W3159561620 abstract "We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black – Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 6 – month EUR/USD call currency option contract is overpriced relative to other call market prices. The 6 – month call contract with long maturity show low market standard deviation relative to the other call prices when using a random standard normal variable. There are no speculation opportunities as the 6 – month EUR/USD call currency option is steep and the volatility is decreased." @default.
- W3159561620 created "2021-05-10" @default.
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- W3159561620 date "2019-03-13" @default.
- W3159561620 modified "2023-09-25" @default.
- W3159561620 title "Testing the Implied Volatility Smile of a Lognormal Distribution on a 6 – Month EUR/USD Call Currency Option Contract Using a Random Standard Normal Variable" @default.
- W3159561620 hasPublicationYear "2019" @default.
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