Foreign Currency Option Values, Garman-Kohlhagen

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:

By remaining on this website or using its content, you confirm that you have read and agree with the Terms of Use Agreement.

We are not liable for any damages resulting from using this website. Any information may be inaccurate or incomplete. See full Limitation of Liability.

Content may include affiliate links, which means we may earn commission if you buy on the linked website. See full Affiliate and Referral Disclosure.

We use cookies and similar technology to improve user experience and analyze traffic. See full Cookie Policy.

See also Privacy Policy on how we collect and handle user data.

© 2022 Macroption