Garman Kohlhagen model
Definition
Formula for estimating the value of a European call option on foreign exchange. It assumes the risk-free interest rate (being paid on the foreign currency) as a continuous dividend yield, and avoids the Black Scholes option pricing model's assumption that borrowing and lending takes place at the same interest rate.
Popular 'Banking, Commerce & Finance' Terms
Garman Kohlhagen model in the news
Loading...
This content can be found on the following page:
http://www.businessdictionary.com/definition/Garman-Kohlhagen-model.html
