Foreign Currency Option Values, Garman-Kohlhagen

Garman-Kohlhagen Foreign Currency Option Values

The Garman-Kohlhagen model is an application of the Black-Scholes option pricing model to foreign currency options. It was formulated by Mark B. Garman and Steven W. Kohlhagen and first published as Foreign Currency Option Values in the Journal of International Money and Finance in 1983 (Vol. 2, issue 3, pp. 231-237).

Mathematically, the Garman-Kohlhagen model is identical to Merton’s extension of the Black-Scholes model that accounts for dividends. In this case, the foreign currency interest rate is in place of the dividend yield (the domestic currency interest rate is the risk free interest rate as in the original Black-Scholes model).

Foreign Currency Option Values PDF

You can buy the paper on the following website:

Related pages

spvxstr indexstandard deviation calculator financersi barsstraddle payoffblack scholes formulawhat does overbought and oversold meancalculating volatility of a stocksimple exponential smoothing calculatordifference of squares calculatorcboe options quotesexcel formula for squarevix etf leveragedmacd divergencesharpe ratio meaningsymbol for vixhow to calculate formulas on excelvariance function excelstandard error of skewnesscumulative distribution excelvariance and standard deviation practice problemsmacd oscillatoreuro usd etfdisadvantages of weighted average methodoption payoff calculatorhow to calculate thetastock volatility calculatorcumulative probability excelannualized volatilitystandard deviation financial calculatorblack scholes standard deviationoex options chainoption expiration calendarsqrt excelnormal distribution calculator excelforecast variance formulawhat is a long straddlesums of squares calculatorvix futures term structuretremont hedge fund indexmacd valuessec form 13 faverage standard deviation calculatorspx historical chartcalculate kurtosisblack scholes call option formulablack scholes option pricing model formulacboe vix white paperannualized return formuladeriving square rootsputting in excel formulasprofit loss calculator optionsmeasure of skewness formulawhat does the word volatility meanweighted index definitioncovariance calculation in excelmomentum formulashow to read a macd chartformula of waccweighted average formula accountingweighted average costingpricing calculator excelreal time vixyahoo vixvix explainedformula sharpe ratioformulas for standard deviationstandard deviation excel formulaoption rhocboe vixproshares vixykurtosis examplegeometric standard deviation calculatorsample kurtosis formulafutures rollover datesformula for skewnessyahoo viximplied volatility formula excelvariance and standard deviation formulas