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Option Pricing - Garman-Kohlhagen

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Title:
Option Pricing - Garman-Kohlhagen
Author:
Pagos
Downloads:
465
Rating:
Language:
English
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Overview:
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.
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