Читать книгу FX Option Performance - Peter Billington - Страница 7

The book is laid out in increasing order of complexity. We give a brief history of the market and describe how options are valued – this will cover simple widely used valuation techniques; it is not our intention to go deeply into the details of exotic option pricing. Then we set the scene by introducing the available dataset and discussing the way that the market operates. We next introduce the first set of comparisons, looking at payoff vs cost or premium for options of different tenors.5 We then move on to look at different types of option: puts, calls, options which pay out at different levels or strikes, and options on emerging market currencies, which present particular features and may have less data available. Finally we examine whether some of the anomalies we see are predictable and whether it is possible to use some market indicators to buy and sell options in a dynamic fashion to improve the protection they provide or to deliver value.

Perhaps we need to say at this point – before the reader gets too far – that there will be no magical profit-making trading strategy found in these pages. Though the market can consistently show features which seem to indicate that it lacks efficiency, inevitably they are not those which lead to a fast buck and early retirement for those who happen upon them. That is not to say that the information here may not be useful to those looking for trading strategies. At the very least it could prevent them from reinventing the wheel, show them where opportunity may lie and where they may be wasting their time. But the authors confess freely that they have not yet discovered the Holy Grail of risk-free yet profitable trading. And if they do, they may not be publishing it in a book…