Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model
比较了修正的布莱克-舒尔斯模型和随机方差模型在日内瓦交易的欧洲货币期权定价中的表现，分析了模型拟合度及对执行价格、到期时间和波动率的偏差，发现随机方差模型存在小幅套利机会。
We use the modified Black-Scholes model and a random variance option pricing model to study prices of European currency options traded in Geneva. The options, which cannot be exercised early, include calls and puts on the dollar/Swiss franc exchange rate. In the empirical analysis, we examine the model fit and the biases with respect to the strike price, time to maturity, and volatility. There is some evidence of mispricing and there are small gains available by trading with the random variance model.