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.
Garman Kohlhagen model is in the Banking, Commerce & Finance, Currency Trading, Disaster Planning & Risk Management, Investing and Statistics, Mathematics, & Analysis subjects.
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