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Applied Financial Economics Volume 15, 2005 - Issue 17
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Original Articles

Enhancing returns on yen: minimizing risk reversal costs

David VanderLinden University of Southern Maine, Portland, ME, USACorrespondence[email protected]
&
Kristijan Nikolov University of Southern Maine, Portland, ME, USA
Pages 1203-1211 | Published online: 20 Aug 2006

References

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  • Chong , J . 2004 . Options trading profits from correlation forecasts . Applied Financial Economics , 14 : 1075 – 85 .
  • Dunis , C and Lequeux , P . 2001 . The information content of risk reversals . Derivatives Use, Trading & Regulation , 7 : 98 – 117 .
  • Ederington , L and Guan , W . 2002 . Why are these options smiling? SSRN Working Paper
  • Malz , AM . 1996 . Using options prices to estimate realignment probabilities in the European Monetary System: the case of the sterling-mark . Journal of International Money and Finance , 15 : 717 – 48 .
  • Malz , AM . 1997 . Estimating the probability distribution of the future exchange rate from option prices . Journal of Derivatives , 5 : 18 – 37 .
  • O'Connor , P and Rozeff , MS . 2002 . Are gain and loss respectable? . Journal of Portfolio Management , : 61 – 70 . Summer
  • VanderLinden , D and Gramlich , J . 2005 . Enhancing risk-controlled returns on excess Japanese yen . Managerial Finance , forthcoming

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