This paper provides an empirical investigation of the variance process and the market price of variance risk implied in the foreign currency options market. The

Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani

The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people t

This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as